Negativa styrräntor och coronapandemins påverkan på avkastning på aktier

Abstract

This study aims to examine how negative interest rates and the corona pandemic affect stock returns in Sweden, Norway, and Denmark. The study also controls for the effect of additional macroeconomic factors. Sweden and Denmark have had interest rates below zero, while Norway has not. Using monthly data from January 2002 to November 2021 the effect of changes in the interest rate, growth in industrial production, inflation, and the corona pandemic on stock return is examined. By applying linear regression models this study finds evidence of a negative relationship between changes in the interest rate and stock return in Sweden and Denmark. When a dummy variable for negative interest rates is included, no significant effect is found which indicates that negative interest rates do not have a specific effect on stock returns. In 2020 the outbreak of the coronavirus had a great negative impact on the economies in Sweden, Norway, and Denmark. Therefore, a dummy variable for the corona pandemic is included in the regression analysis. The dummy variable is insignificant in all the regressions which means no effect of the pandemic on stock returns is found. In addition, a negative relationship between an inflation above the target and stock return is discovered in Sweden and Denmark. Furthermore, a positive relationship between growth in industrial production and stock return is found in Sweden.