The cost of housing / income ratio in Stockholm is so out of whack that it’s basically impossible to enter the housing market without at least €50k-75k in savings to have as a down payment for an apartment anywhere nice.
That said, you get advantage of being right next to Copenhagen. It is a big market of jobs there. Salaries are high because it is a big, crowded city with high living expenses. So you could live in Malmö for cheap and commute to Copenhagen for work.
All that said, as a 26 year old, I managed to take a gap year in Malmö now, after working/saving for 4 years, while managing to keep paying my mortgage, owning a car etc.