Essays about: "Return causality"

Showing result 1 - 5 of 23 essays containing the words Return causality.

  1. 1. Interest rates and their impact on the stock market : Evidence from Sweden

    University essay from Linnéuniversitetet/Institutionen för management (MAN)

    Author : Felicia Andersson; Robin Fogelberg; [2023]
    Keywords : Interest rate; Stock market; OMX30; Vector autoregressive VAR model; Granger causality test; Short-term interest rate; Long-term interest rate; Sweden;

    Abstract : This study will be investigating the relationship between short-term and long-term interest rates with the OMX30 stock return expressed in percentage, as well as the effect that the interest rates have on the stock return. The data used in this study has been collected from the dataprogram Datastream with monthly observations from January 2003 until December 2022 resulting in 240 different variables within all three factors over a period of 20 years. READ MORE

  3. 2. Arms Export to Developing Countries: Making the Critical Appraisal : A qualitative comparative case study on the connection between arms export to developing countries and the level of development in the receiving country.

    University essay from Uppsala universitet/Statsvetenskapliga institutionen

    Author : Lisa Stulic; [2022]
    Keywords : arms export; development; developing countries;

    Abstract : Arms export to developing countries is heavily debated. Scholars have presented arguments about both why arms export may be beneficial and why it may be detrimental to development of the receiving country, and empirical results are inconclusive. READ MORE

  4. 3. EMPIRICAL ANALYSIS OF DEPENDENCE STRUCTURES AND SPILLOVER EFFECTS ACROSS STOCK MARKETS: A STUDY OF RELATIONSHIP BETWEEN VIETNAM AND ITS MAJOR TRADING PARTNERS

    University essay from Göteborgs universitet/Graduate School

    Author : My Phung; [2021-06-30]
    Keywords : stock markets; dependence structure; spillover effect; copula model; VAR-BEKK-GARCH model;

    Abstract : This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. READ MORE

  5. 4. Macroeconomic variables and their impact on the Swedish stock market

    University essay from Södertörns högskola/Institutionen för samhällsvetenskaper

    Author : Timur Cengiz; David Holmer; [2021]
    Keywords : Macroeconomics; Stocks; Macroeconomic variables; Stock market;

    Abstract : The objective of this study is to investigate the impact of a few selected macroeconomic variables on the Swedish stock market index OMXS30. The study uses time series monthly data during the period 2000-2019. To investigate these relationships, the time series are transformed into stationary processes. READ MORE

  6. 5. Market efficiency and index fund flow: An empirical study of the relationship between passive investment and broad-market efficiency

    University essay from Göteborgs universitet/Graduate School

    Author : Erik Larsson; Jacob Wergeland; [2020-07-08]
    Keywords : market efficiency; Hurst exponent; mutual fund flow; passive investments;

    Abstract : An observable rise in the popularity of index funds have caused the index funds to, in 2017, capture 20% of total fund assets globally. A cornerstone of such passive investment is a belief in an efficiently priced security market. This paper aims to relate index fund flows with market efficiency during the period 2000-2019. READ MORE