Granger causality between stock market and macroeconomic indicators: evidence from Germany
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00091230" target="_blank" >RIV/00216224:14560/16:00091230 - isvavai.cz</a>
Result on the web
<a href="https://acta.mendelu.cz/64/6/2101/" target="_blank" >https://acta.mendelu.cz/64/6/2101/</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201664062101" target="_blank" >10.11118/actaun201664062101</a>
Alternative languages
Result language
angličtina
Original language name
Granger causality between stock market and macroeconomic indicators: evidence from Germany
Original language description
The aim of this paper is to investigate informational efficiency of the stock market in Germany. Granger causality between stock market and the selected macroeconomic variables is investigated by bivariate analysis using Toda-Yamamoto (1995) approach. This study focuses on monthly data from January 1999 to September 2015, and stock market is represented by blue chip stock market index DAX. Investigated macroeconomic indicators include industrial production, inflation, money supply, interest rate, trade balance and exchange rate. Stock market Granger-causes industrial production and interest rate, and is therefore leading indicator of these variables. Between money supply and stock prices is Granger causality in both directions. Other variables seem to be independent on development of the stock market. We do not find any violation of Efficient market hypothesis which indicates that stock market in Germany is informational efficient.
Czech name
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Czech description
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Classification
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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Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
2464-8310
e-ISSN
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Volume of the periodical
64
Issue of the periodical within the volume
6
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
8
Pages from-to
2101-2108
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85008686807