THE RELATIONSHIP BETWEEN STOCK MARKET DEVELOPMENT AND MACROECONOMIC FUNDAMENTALS IN THE VISEGRAD GROUP
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F17%3A00010953" target="_blank" >RIV/47813059:19520/17:00010953 - 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
THE RELATIONSHIP BETWEEN STOCK MARKET DEVELOPMENT AND MACROECONOMIC FUNDAMENTALS IN THE VISEGRAD GROUP
Original language description
This study examines the effect of specific macroeconomic factors on the stock prices of selected financial sector companies listed on the Central European Exchanges (Budapest Stock Exchange, Prague Stock Exchange, Bratislava Stock Exchange, or Warsaw Stock Exchange). We investigate the nature of the causal relationships between macroeconomic factors and stock prices. The long-term causality, tested using the Johansen cointegration test, and the short-run dynamics between the variables, examined using the VECM model, are explored using quarterly data from the 2005-2014 period. The short-term causality shows the possibility of time series fluctuations; however a steady state should be achieved in the long-term. In general, we confirmed that macroeconomic fundamentals had a negative impact on stock prices. The interest rate, which also has a negative impact, is the most prominent predictor of the long-run developments. We also found very rare examples of macroeconomic variables that expl ain changes in stock prices within the VECM framework.
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
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Comparative Economic Research
ISSN
2082-6737
e-ISSN
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Volume of the periodical
20
Issue of the periodical within the volume
3
Country of publishing house
PL - POLAND
Number of pages
19
Pages from-to
5-24
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85030229601