his dissertation was written as part of the MSc in International Accounting, Auditing
and Financial Management at the International Hellenic University.
The
objective of
this study is
to
analyze the
relationship between the stock market prices of FTSE 100
index and macroeconomic factors in United Kingdom for the period 2002
-
2016.
The
key macroeconomic factors studied are
Consumer price i
ndex, Exchange Rate,
Treasury bills rate, Unemployment rate, Oil prices and Industrial production.
An
Ordinary Least Squa
re
s
regression will be produced in order to show if there is any
link between those variables and also a
lag
ged
model
, as an extension of the main
model,
to examine whether past values of the predictors could cause
the
Stock
prices.
The results showed a
positive impact of
exchange rate, Oil prices and
Industrial production on S
tock prices of FTSE 100 index.
In addition, the study
examines how another economic indicator such as Gross do
mestic product could be
affect the
FTSE all
-
share index by running an
OLS regression and applying a Granger
causality test.
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