Stock market informational efficiency in Germany: Granger causality between DAX and selected macroeconomic indicators

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00090147" target="_blank" >RIV/00216224:14560/16:00090147 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.sbspro.2016.05.505" target="_blank" >http://dx.doi.org/10.1016/j.sbspro.2016.05.505</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.sbspro.2016.05.505" target="_blank" >10.1016/j.sbspro.2016.05.505</a>

Result language
angličtina
Original language name
Stock market informational efficiency in Germany: Granger causality between DAX and selected macroeconomic indicators
Original language description
This study analyzes relationship between macroeconomic indicators and stock market in Germany. Aim of this paper is to answer the question how stock market reflects economic conditions and if stock market is informational efficient. Toda-Yamamoto (1995) approach is used for testing Granger causality. Bivariate analysis is performed on monthly data from January 1999 to September 2015, and six macroeconomic indicators are examined: industrial production, inflation, money supply, interest rate, trade balance and exchange rate. Analysis applies unit root tests, testing for cointegration using the Johansen methodology and Wald test for linear restriction to check Granger causality.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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