A Monetary Policy Shock and Stock Returns : Evidence from Sweden

Sammanfattning

Monetary policy announcements can have significant effects on the stock market movement, particularly for sectors with high interest rate sensitivity. The thesis examines how Swedish GICS classified sectors react to the Riksbank's unexpected monetary policy shock on the 20th of September 2022 using an event study methodology across the selected sectors. The analysis documents how sector characteristics and reactions explain differences in abnormal returns. The findings contribute to the understanding of monetary policy impact on the Swedish economy. Sectors like Real Estate, Energy, Communications, Consumer Staples and Utilities experienced large negative cumulative returns. Meanwhile Information Technology, Industrials, Health Care, Materials and Consumer Discretionary sectors displayed statistically insignificant cumulative abnormal returns. The Financials sector was the only sector with a positive cumulative abnormal return on the event date. The results highlight cross-sector heterogeneity in how markets respond to monetary policy shocks.