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Stock returns and macroeconomic factors in the German capital market

  • The area of scientific research around the relationship between stocks and macroeconomic activity has been of great interest for scholars, especially after the introduction of the Arbitrage Pricing Theory. Such macro variables as industrial production and long-term interest rates, are expected to influence the stock price through the firms’ expected cash flows and the discount rate (Rapach, et al., 2005: 137). Following this body of research, this master thesis examines the relationship between stock returns and six macro variables in the German stock market. The applied methodology ranges from standard OLS regressions with different leads of macro variables to more advanced time-series techniques. Overall, the explanatory power of OLS regressions is quite low meaning that only a small fraction of stock returns is explained by the selected macro factors, even if some of them are statistically significant. The findings from Granger causality and Johansen cointegration tests are more conclusive but should be taken with caution

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Metadaten
Author:Anastasia Lyulekina
URN:urn:nbn:de:kobv:b721-opus4-10663
Referee:Ursula Walther
Advisor:Fidelio Tata
Document Type:Master's Thesis
Language:English
Date of first Publication:2018/11/07
Publishing Institution:Hochschulbibliothek HWR Berlin
Granting Institution:Hochschule für Wirtschaft und Recht Berlin
Date of final exam:2018/08/01
Release Date:2018/11/07
Page Number:60
Institutes:FB I - Wirtschaftswissenschaften
Licence (German):License LogoUrheberrechtsschutz