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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

  • DOI - Digital Object Identifier

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

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

  • Publisher name

    Akademia ekonomiczna w Krakowie

  • Place of publication

    Krakow

  • UT code for WoS chapter