Makroekonomiska effekter på den svenska aktiemarknaden - En analys av makroekonomiska variablers påverkan på OMXS30 via Arbitrage Pricing Theory

Abstract

The aim of the thesis is to examine the relationship between five macroeconomic variables and the index on the Stockholm Stock Exchange, OMXS30, which includes the 30 most traded companies. The macroeconomic variables include industrial production index, inflation, unemployment, the exchange rate and the two year government bond rate. The relationship is estimated by using a multiple regression model and the underlying theory is the Arbitrage Pricing Theory. To be able to draw truthful conclusions from our multiple regression we have done statistical testing of our monthly time series data between 2001–2021. This includes a correlation matrix, a test for Variance Inflation Factor and an augmented Dickey-Fuller test. The results show that two of the five variables, industrial production index and exchange rate, are significant. Industrial production index has a positive effect on OMXS30 which may occur because OMXS30 is mostly weighted towards the industrial sector. Exchange rate has a negative effect, one reason may be because foreign investors are discouraged to invest when the Swedish krona is in a downward trend. Moreover, a depreciation will increase the import cost for the companies. The results show that these two significant variables have a low explanatory power to OMXS30 returns.