The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F16%3A00010617" target="_blank" >RIV/47813059:19520/16:00010617 - isvavai.cz</a>
Result on the web
<a href="https://acta.mendelu.cz/64/6/2015/" target="_blank" >https://acta.mendelu.cz/64/6/2015/</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201664062015" target="_blank" >10.11118/actaun201664062015</a>
Alternative languages
Result language
angličtina
Original language name
The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies
Original language description
Stock values of companies listed on stock exchanges could be influenced by many factors. The aim of this article is to examine existence and character of relationship between stock prices of selected Swiss real estate companies and macroeconomic fundamentals (GDP, interest rate, price level). The existence of long-run equilibrium relationship between stock prices and macroeconomic fundamentals is tested with the Johansen cointegration. The short run dynamics between the variables is examined by Vector Error Correction modelling and the Granger causality test. During the period 2005 - 2014 we revealed a long?run equilibrium for five of the six analyzed stocks. We also confirmed that macroeconomic variables and the interest rate in particular, can explain a long-run behavior of stock prices. By contrast, macroeconomic variables are usually short in explanation of short?run dynamics of stock prices. However, the results differ substantially among the stocks and, hence, they prevent us fro m drawing any general conclusion for the entire real estate sector in Switzerland
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50206 - Finance
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
1211-8516
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
10
Pages from-to
2015-2024
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85008622752