20.500.12556/DKUM-94553 Ekonometrična analiza vpliva makroekonomskih indikatorjev na borzne indekse Econometric analysis of the impact of macroeconomic indicators on stock market indices V razmerah povečane negotovosti in dinamičnih makroekonomskih gibanj postaja razumevanje povezave med realnim gospodarstvom in kapitalskimi trgi vse pomembnejše za oblikovanje ekonomskih pričakovanj in investicijskih odločitev. Borzni indeksi kot agregatni pokazatelji gibanja trga delnic se pogosto odzivajo na spremembe v makroekonomskem okolju, zato je analiziranje teh vplivov ključno za razumevanje tržnega dogajanja. V diplomskem delu smo preučevali vpliv izbranih makroekonomskih indikatorjev na borzni indeks S&P 500, pri čemer so v ospredju kazalniki gospodarske aktivnosti, inflacije, obrestnih mer, deviznih tečajev in tržnega razpoloženja ter negotovosti. Na osnovi mesečnih podatkov sta oblikovana dva regresijska modela – osnovni model, ocenjen za obdobje 2000–2024, ter alternativni model, ocenjen na krajšem obdobju 2009–2022. Osnovni model konfigurirajo spremenljivke industrijske proizvodnje, inflacije, obrestne mere in indeksa tržne volatilnosti (VIX), medtem ko alternativni model temelji na realnih napovednih maloprodajnih vrednosti, realnem efektivnem deviznem tečaju in tržni volatilnosti. Oba modela sta vključena v celovito preverjanje predpostavk metode najmanjših kvadratov (OLS), vključno s testi stacionarnosti, strukturnih prelomov, normalnosti, multikolinearnosti, heteroskedastičnosti in avtokorelacije. Rezultati regresijske analize kažejo, da je alternativni model metodološko ustreznejši, saj bolje zadosti zahtevam ekonometrične specifikacije in dosega višjo pojasnjevalno moč. Ugotovitve potrjujejo pomembnost denarne politike, potrošniške aktivnosti, zunanjetrgovinske konkurenčnosti in tržne negotovosti pri razlagi gibanja borznega indeksa S&P 500, s čimer prispevajo k razumevanju soodvisnosti med makroekonomskim okoljem in finančnimi trgi. In an environment of heightened uncertainty and dynamic macroeconomic developments, understanding the relationship between the real economy and capital markets is becoming increasingly important for shaping economic expectations and investment decisions. Stock market indices, as aggregate indicators of equity market performance, often respond to changes in the macroeconomic environment, making the analysis of these influences essential for interpreting market dynamics. This thesis investigates the impact of selected macroeconomic indicators on the S&P 500 stock market index, with a particular focus on indicators of economic activity, inflation, interest rates, exchange rates, as well as market sentiment and uncertainty. Based on monthly data, two regression models are developed: a baseline model estimated over the period 2000–2024, and an alternative model estimated over the shorter period 2009–2022. The baseline model includes industrial production, inflation, the interest rate, and the market volatility index (VIX), whereas the alternative model is based on real advanced retail sales, the real effective exchange rate, and market volatility. Both models are subjected to a comprehensive verification of the assumptions underlying the Ordinary Least Squares (OLS) method, including tests for stationarity, structural breaks, normality, multicollinearity, heteroskedasticity, and autocorrelation. The results of the regression analysis indicate that the alternative model is methodologically more robust, as it better satisfies the requirements of econometric specification and achieves a higher explanatory power. The findings confirm the relevance of monetary policy, consumer activity, external trade competitiveness, and market uncertainty in explaining the movements of the S&P 500 stock market index, thereby contributing to a deeper understanding of the interdependence between the macroeconomic environment and financial markets. borzni indeks ekonometrična analiza makroekonomski indikatorji metoda najmanjših kvadratov S&P 500 ZDA econometric analysis macroeconomic indicators ordinary least squares method S&P 500 stock market index United States true true false U. Kitek] Slovenski jezik Angleški jezik Diplomsko delo/naloga 2025-08-20 22:21:03 2025-09-25 14:33:47 2025-09-26 03:13:49 0000-00-00 00:00:00 2025 0 Maribor 0 0000-00-00 NiDoloceno NiDoloceno NiDoloceno 0000-00-00 0000-00-00 0000-00-00 330.43:336.76 250465283 UN_Kitek_Ula_2025.pdf UN_Kitek_Ula_2025.pdf 1 04043FD9EEE35F4EF437852715E85B1D 476a37e13fcef4ebb8493975ac48994a1ebce5cf1325b35ca092c40aa805b43d 50ce02f2-8d6c-11f0-9299-00155d000105 https://dk.um.si/Dokument.php?lang=slv&id=198011 Ekonomsko-poslovna fakulteta 0 0 0