Hur reagerar Stockholms-börsen på den amerikanska centralbankens räntebesked?

: En eventstudie som undersöker hur Feds räntebesked påverkar utvecklingen på den svenska aktiemarknaden

Abstract

This thesis has examined the reaction between the Stockholm Stock Exchange and the Fed's interest rate announcements. Previous research has shown a negative correlation between the S&P 500 and the Fed's policy rate. Swedish studies found no correlation between the Stockholm Stock Exchange and the Riksbank's policy rate. Fama's efficient market hypothesis and the spillover effect have been used as the basis for this study. The method used is an event study that shows the Stockholm Stock Exchange's reaction to the Federal Reserve's interest rate announcements and the correlation between OMXSPI and the S&P 500. Data was collected for the Fed's interest rate announcements and index prices for OMXSPI and the S&P 500 for 23 years (2000-2022). t-test (One-sample t-test) and correlation analysis were used to test hypotheses and address the study’s purpose and research question. The study found statistically significant results between OMXSPI and the Fed's interest rate announcements when the policy rate remained unchanged. On average, the stock market decreases by -0.27 percent when the Fed leaves the policy rate unchanged. The study also showed statistically significant results between the performance of OMXSPI and the S&P 500. There was a positive correlation between the Swedish stock market and the American stock market during the studied period.

Date of Award	2023-Jun
Original language	Swedish
Supervisor	Martin Abrahamson (Supervisor), Emil Numminen (Assessor) & Heléne Tjärnemo (Examiner)