Exchange rates and stock markets

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dc.contributor.authorFathi, Adam
dc.contributor.authorStaf, Christian
dc.contributor.departmentUniversity of Gothenburg/Department of Economicseng
dc.contributor.departmentGöteborgs universitet/Institutionen för nationalekonomi med statistikswe
dc.date.accessioned2013-07-04T07:21:12Z
dc.date.available2013-07-04T07:21:12Z
dc.date.issued2013-07-04
dc.description.abstractThe study employs a vector error correction model, cointegration analysis and Granger causality test to examine the short- and long-run dynamic relationship between the USD/SEK exchange rate and the OMXS30. In the short-run we found statistical evidence of OMXS30 granger causing the USD/SEK currency exchange rate positively but no statistical evidence that the USD/SEK exchange rate granger cause OMXS30. In the long-run we found statistically significant evidence of the USD/SEK exchange rate and OMXS30 being cointegrated. The effect of a shock to the USD/SEK currency exchange has a long-run positive effect on the OMXS30. While the effect of a shock to the OMXS30 has a long-run negative effect on the USD/SEK exchange rate.sv
dc.identifier.urihttp://hdl.handle.net/2077/33387
dc.language.isoengsv
dc.relation.ispartofseries201307:041sv
dc.relation.ispartofseriesUppsatssv
dc.setspec.uppsokSocialBehaviourLaw
dc.titleExchange rates and stock marketssv
dc.title.alternativeExchange rates and stock marketssv
dc.typetext
dc.type.degreeStudent essay
dc.type.uppsokH1

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