Do energy price changes have an impact on the Swedish stock market?

Abstract: This thesis examines the impact the energy resources oil, coal and electricity have on the Swedish stock market. The stock market has been divided by sectors, resulting in 15 sector indices. Each index has been tested against the energy variables with a multiple regression approach, with monthly data from the period 1996-01-15 to 2009-07-15. Our findings imply a significant relationship for all energy variables against some sectors, though the explanatory level of electricity is very low. The analysis has been discussed with reference to a free cash flow valuation and how changes in energy prices affect the stock value. The final conclusion is that the impact energy prices have on stock returns is rather limited, as the relationship is only statistically significant on a few number of sector indices.