Granger causality between stock market and macroeconomic indicators: evidence from Germany
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F16%3A00091230" target="_blank" >RIV/00216224:14560/16:00091230 - isvavai.cz</a>
Výsledek na webu
<a href="https://acta.mendelu.cz/64/6/2101/" target="_blank" >https://acta.mendelu.cz/64/6/2101/</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201664062101" target="_blank" >10.11118/actaun201664062101</a>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Granger causality between stock market and macroeconomic indicators: evidence from Germany
Popis výsledku v původním jazyce
The aim of this paper is to investigate informational efficiency of the stock market in Germany. Granger causality between stock market and the selected macroeconomic variables is investigated by bivariate analysis using Toda-Yamamoto (1995) approach. This study focuses on monthly data from January 1999 to September 2015, and stock market is represented by blue chip stock market index DAX. Investigated macroeconomic indicators include industrial production, inflation, money supply, interest rate, trade balance and exchange rate. Stock market Granger-causes industrial production and interest rate, and is therefore leading indicator of these variables. Between money supply and stock prices is Granger causality in both directions. Other variables seem to be independent on development of the stock market. We do not find any violation of Efficient market hypothesis which indicates that stock market in Germany is informational efficient.
Název v anglickém jazyce
Granger causality between stock market and macroeconomic indicators: evidence from Germany
Popis výsledku anglicky
The aim of this paper is to investigate informational efficiency of the stock market in Germany. Granger causality between stock market and the selected macroeconomic variables is investigated by bivariate analysis using Toda-Yamamoto (1995) approach. This study focuses on monthly data from January 1999 to September 2015, and stock market is represented by blue chip stock market index DAX. Investigated macroeconomic indicators include industrial production, inflation, money supply, interest rate, trade balance and exchange rate. Stock market Granger-causes industrial production and interest rate, and is therefore leading indicator of these variables. Between money supply and stock prices is Granger causality in both directions. Other variables seem to be independent on development of the stock market. We do not find any violation of Efficient market hypothesis which indicates that stock market in Germany is informational efficient.
Klasifikace
Druh
J<sub>x</sub> - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
CEP obor
AH - Ekonomie
OECD FORD obor
—
Návaznosti výsledku
Projekt
—
Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2016
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
2464-8310
e-ISSN
—
Svazek periodika
64
Číslo periodika v rámci svazku
6
Stát vydavatele periodika
CZ - Česká republika
Počet stran výsledku
8
Strana od-do
2101-2108
Kód UT WoS článku
—
EID výsledku v databázi Scopus
2-s2.0-85008686807