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Showing result 16 - 20 of 46 essays matching the above criteria.

1. 16. Macroeconomic Factors and Stock Returns: Evidence from the Swedish Stock Market

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Sebastian Nordenberg; Sebastian Shaqiri Johansson; [2020-02-18]
   Keywords : ;

   Abstract : This study investigates the relationship between stock returns and macroeconomic factors in a small, open economy by utilizing a vector autoregression (VAR) approach on Swedish large-cap, mid-cap, and small-cap data from 2003 to 2019. To determine the relationship between the macroeconomic factors and stock market return, Granger causality tests are run on each of the markets. READ MORE

3. 17. Do global oil prices drive domestic food prices? : evidence from the Middle East countries

   University essay from SLU/Dept. of Economics

   Author : Madina Alieva; [2019]
   Keywords : food price; crude oil price; cointegration; VECM; Middle East;

   Abstract : This study investigates the dynamic relationship between global oil prices and domestic food prices across 11 countries of the Middle East. Using monthly data covering the period from January 2010 to October 2018, the study employs long-run cointegration tests, vector error correction model (VECM) and vector autoregression (VAR) model to examine the effect of global oil prices on domestic food prices in a sample of Middle East countries. READ MORE

4. 18. The Causal Relationships Between ESG and Financial Asset Classes : A multiple investment horizon wavelet approach of the non-linear directionality

   University essay from Linköpings universitet/Nationalekonomi

   Author : Emil Andersson; Mahim Hoque; [2019]
   Keywords : ESG; Non-linear; Granger causality; Wavelet; Return performance; Directionality; Responsible investing; Sustainability; DCC-GARCH; VAR; Climate; Asset class; Investment horizon;

   Abstract : This thesis investigates if Environmental, Social and Governance (ESG) investments can be considered as an independent asset class. As ESG and responsible investing has increased substantially in recent years, responsible investments have entered the portfolios with other asset classes too. READ MORE

5. 19. Linkage between FinTech and Traditional Financial Sector in U.S. : Comparative Study during and after Global Financial Crisis

   University essay from Högskolan i Jönköping/IHH, Företagsekonomi

   Author : Chunyan Chen; Ziyi Zhang; [2018]
   Keywords : Fintech; Traditional financial sector; Granger causality; Toda Yamamoto; linkage;

   Abstract : Background: In 2008, the financial crisis led to the deterioration of the global economy. The financial industry suffered severe setbacks. On the one hand, regulators strengthened their supervision over financial institutions and raised capital requirements. On the other hand, publics’ confidence in financial institutions declined. READ MORE

6. 20. The Effect of Oil Prices on Floating Exchange Rates

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Maha Eshak; [2018]
   Keywords : VECM; VAR; oil prices; exchange rates; oil dependent countries; short-run causality; long-run causality; Granger; floating currencies; co-integration; ADF; Business and Economics;

   Abstract : This thesis contributes to the existing literature by examining the effect of oil prices on floating exchange rates of oil dependent countries. I conduct empirical tests on monthly data of 32 currencies over a timeframe of 15 years from 2003 to 2017 and 13 currencies over a timeframe of 25 years from 1993 to 2017. READ MORE