The Relationship between stock markets and gross domestic product in the Central and Eastern Europe

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86087280" target="_blank" >RIV/61989100:27510/12:86087280 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
The Relationship between stock markets and gross domestic product in the Central and Eastern Europe
Original language description
Paper is concerned with causal linkages among stock prices, output and money supply development in the Central and Eastern European countries. The main objective is to investigate and evaluate long-run equilibrium relationships between stock prices and macroeconomic variables as well as short-run dynamics using both the Vector Autoregressive (VAR) and Vector Error Correction (VEC) models in Austria, the Czech Republic, Hungary, Poland, and Slovak Republic. National stock market indices, gross domestic product and money supply are used in this study. In the analysis quarterly data from 1995:Q1 to 2012:Q2 has been applied. We have applied tests for co-integration, it has been discovered that there is a long-run co-integration relationship between variables and we have estimated both the VAR and VEC models, along with comparing the usefulness of VAR and VEC models for the gross domestic product growth modeling. The evidence obtained from the analysis of time series suggests that in all ca
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of the 7th International Conference on Currency, Banking and International Finance : Does Central and Eastern Europe Cope with the Global Financial Crisis? : 27-28 September 2012, Bratislava, Slovak Republic
ISBN
978-80-225-3527-4
ISSN
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e-ISSN
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Number of pages
11
Pages from-to
135-145
Publisher name
Ekonóm
Place of publication
Bratislava
Event location
Bratislava
Event date
Sep 27, 2012
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000318886500011

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