Impact of Macroeconomic Factors on IPO Activity
Master thesis
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Date
2023Metadata
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- Master of Science [1822]
Abstract
This thesis aims to examine the relationship between macroeconomic factors
and IPO activity in the euro area from January 2000 to December 2022. By
employing the Johansen test for cointegration, our analysis found evidence of
two long-run equilibrium relationships between the macroeconomic factors and
IPO activity. Moreover, the short- and long-run dynamics were examined using
the Vector Error Correction model. Furthermore, variance decomposition and
impulse response functions were applied to improve our understanding of the
relative importance of shocks and the response patterns within the system.
Eventually, the Granger causality test was employed to determine any potential
causal relationship between the variables.
Notably, our findings confirm a significant positive relationship between the
stock market and IPO activity. However, we encountered limited statistical
evidence to support a relationship between the long-term interest rate, industrial
production, and market volatility, and IPO activity. Although market volatility
demonstrates a closer connection to IPO activity compared to the longterm
interest rate and industrial production, the statistical support for this
relationship remains relatively weak.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2023