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Copper Price Fluctuations and the Stock Market

Behring, Erik Berg; Behring, Mats Berg
Master thesis
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URI
https://hdl.handle.net/11250/2826469
Date
2021
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  • Master of Science [1116]
Abstract
The aim of this study is to investigate whether the fluctuations in the copper price

can add predictive power to a model forecasting stock market returns. Our findings

from the in-sample test are that past fluctuations in the copper price are related to

current stock returns. Appreciations in the copper price during contraction periods

forecasts positive stock returns, and counter wise, decreased stock prices during

expansionary periods. From the out-of-sample experiment, using a rolling window

regression, we find that copper price returns forecast directional returns in the S&P

500. The discussion of our findings backs up the idea that stock market return

predictability is the logical response to varying business cycle conditions rather than

stock market inefficiencies.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2021/Masteroppgave(MSc) in Master of Science in Business, Economics - Handelshøyskolen BI, 2021
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Handelshøyskolen BI

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