Oljeprischocker – En studie på de svenska och brittiska aktiemarknaderna

ABSTRACT TITLE: Oil price shocks impact on the British and the Swedish stock markets SEMINAR DATE: 2007-06-07 COURSE: Bachelor thesis in Business Administration and Economics, 10 Swedish credits (15 ECTS) AUTHORS: Carl Hersaeus, Sven Piehl Trygg ADVISORS: Hossein Asgharian, Göran Andersson KEY WORDS: Dummy Variables, United Kingdom, Oil Price, OLS, Regressions, Stock Markets, and Sweden PURPOSE: The purpose of this paper is to study whether, and how, oil price shocks have an impact on British and Swedish stock markets. METHODOLOGY: Our paper is based on secondary data, focused on historical spot prices on Brent oil and stock indices from Sweden and UK. We construct dummy variables to register positive and negative disturbances in the oil price. Furthermore we try to find a relation between the price disturbances and the different stock indices. THEORY: We take off from earlier studies, which prove that there is a relation between oil prices and stock markets. We develop these theories and concentrate on the extreme movements of oil prices and test if there is a relation. EMPIRICAL FOUNDATION: In general, our indices show a significant relation to extreme oil price movements. However, we cannot find any systematically behaviour on how quickly the different markets react on extreme oil price movements. CONCLUSION: Our results prove that the British and Swedish markets react on extreme oil price movements. The transport sector shows the highest level of dependence to oil shocks. Somewhat remarkable, our study shows that the markets benefit more from oil price dumps than they lose from oil price peaks