Macroeconomic Factors and the Stock Market
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F04%3A00000018" target="_blank" >RIV/47813059:19520/04:00000018 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Macroeconomic Factors and the Stock Market
Original language description
The aim of this study is to investigate whether macroeconomic variables explain stock market returns by using cointegration tests. Our study finds that stock markets reflect a set of macroeconomic variable fluctuations on stock market indexes. The Johansen´s test procedures illustrate that the stock price indexes are cointegrated with selected macroeconomic variables (industrial production, risk premium, term structure, and excess personal consumption expenditures). This evidence enables us to form a hypothesis that the long-run equilibrium relation exists among relevant macroeconomic variables and stock price indexes.
Czech name
Makroekonomické faktory a akciové trhy
Czech description
The aim of this study is to investigate whether macroeconomic variables explain stock market returns by using cointegration tests. Our study finds that stock markets reflect a set of macroeconomic variable fluctuations on stock market indexes. The Johans
Classification
Type
C - Chapter in a specialist book
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GA402%2F02%2F1408" target="_blank" >GA402/02/1408: Comparing Financial Markets Development in the Czech Republic and EU-Countries</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2004
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Book/collection name
LIS, S., MIKLASZEWSKI, S.: Transformacja, Integracja, Globalizacja
ISBN
83-917312-7-8
Number of pages of the result
22
Pages from-to
467-488
Number of pages of the book
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Publisher name
Akademia ekonomiczna w Krakowie
Place of publication
Krakow
UT code for WoS chapter
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