| dc.description.abstract | The association between macroeconomic variables and stock returns is an interesting area of research. However, there is no consensus among scholars regarding the explanatory power of macroeconomic variables, which demands more studies on the topic. The existing literature offers little knowledge on the impact of macroeconomic variables on the Nordic region's shipping and seafood stock returns. This study aims to explore whether macroeconomic variables explain the variance of stock returns in the Norwegian shipping and seafood industry. Another objective of this study is to assess whether Norwegian seafood and shipping stocks can be considered separate asset classes. The study also explores the moderation effect of innovation on the association between macroeconomic variables and stock returns. Both the classical regression and vector error correction models (VECM) are employed in the analysis to establish the robustness of the results. Analysis of monthly time series data from 2005 to 2020 suggests that unemployment rates, interest rates, foreign exchange rates, and oil price shocks can explain the stock returns. Further, findings document that shipping and seafood can be considered separate asset classes. However, the result of classic regression varies from the result of VECM. Employing Granger (1986) cointegration equation, a long-term association between the macroeconomic variables and the stock returns is discovered. Finally, it is highly probable that innovation has a moderating effect on the determinants of stock returns. This study has several contributions to the current asset pricing literature, including but not limited to the study of the Norwegian shipping and seafood industry for the first time, the use of VECM, and the introduction of innovation as a moderating variable in the asset pricing model.
Keywords: stock returns; macroeconomic variables; innovation; Norway | |