Relationships between macroeconomic variables and stock prices from the perspective of fundamental analysis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F04274644%3A_____%2F25%3A%230001304" target="_blank" >RIV/04274644:_____/25:#0001304 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/61384399:31110/25:00061891 RIV/61384399:31140/25:00061891

Výsledek na webu

<a href="https://www.vsfs.cz/media/conference/fintrhy//financial-markets_2025.pdf" target="_blank" >https://www.vsfs.cz/media/conference/fintrhy//financial-markets_2025.pdf</a>

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Relationships between macroeconomic variables and stock prices from the perspective of fundamental analysis

Popis výsledku v původním jazyce

Stock price movements are determined by several diverse factors. A significant portion of these factors are examined by fundamental stock analysis, which uses various statistical tools to identify the relationships between macroeconomic, sectoral, and company factors and stock price movements. Analysts, investors, and portfolio managers then use their knowledge of the relationships between economic variables and stock prices to develop investment strategies and make investment decisions. Among macroeconomic factors, the most frequently analysed are the impact of GDP growth, interest rates, money supply, government expenditure, and inflation on stock price movements, represented in this case by the stock index. The aim of this study is to identify the relationships between GDP growth, interest rates, changes in the money supply, government expenditure, inflation, and stock market returns represented by the stock index in the following nine countries: the Czech Republic, Poland, Sweden, Turkey, the United Kingdom, the United States, China, India, and Japan. To analyse the relationships between macroeconomic variables and stock indices as proxies for stock markets, we used a vector autoregressive (VAR) model with an optimally selected number of lags. The VAR model proves to be a useful tool for analysing multiple time series that are interrelated. The results of the study show how macroeconomic factors, including fiscal and monetary shocks, affect stock markets and provide quantitative estimates of these relationships. The study provides new insights into the relationships between macroeconomic variables and stock markets in recent decades, which has important implications for the work of fundamental analysts and for investors in constructing investment strategies. The study could be continued by extending and restructuring the period under review and expanding the range of countries covered. At the same time, it would be appropriate and useful to examine in more detail the interrelationships and influences between individual macroeconomic variables. This study provides an original analysis of the interrelationships between the movement of macroeconomic variables and stock prices using the VAR model, which allows for a deeper understanding of the interconnections and correlations. The analysis conducted in this study provides useful insights for the practical application of fundamental stock analysis, as well as applicable insights for further research into the functioning of stock markets.

Název v anglickém jazyce

Relationships between macroeconomic variables and stock prices from the perspective of fundamental analysis

Popis výsledku anglicky

Stock price movements are determined by several diverse factors. A significant portion of these factors are examined by fundamental stock analysis, which uses various statistical tools to identify the relationships between macroeconomic, sectoral, and company factors and stock price movements. Analysts, investors, and portfolio managers then use their knowledge of the relationships between economic variables and stock prices to develop investment strategies and make investment decisions. Among macroeconomic factors, the most frequently analysed are the impact of GDP growth, interest rates, money supply, government expenditure, and inflation on stock price movements, represented in this case by the stock index. The aim of this study is to identify the relationships between GDP growth, interest rates, changes in the money supply, government expenditure, inflation, and stock market returns represented by the stock index in the following nine countries: the Czech Republic, Poland, Sweden, Turkey, the United Kingdom, the United States, China, India, and Japan. To analyse the relationships between macroeconomic variables and stock indices as proxies for stock markets, we used a vector autoregressive (VAR) model with an optimally selected number of lags. The VAR model proves to be a useful tool for analysing multiple time series that are interrelated. The results of the study show how macroeconomic factors, including fiscal and monetary shocks, affect stock markets and provide quantitative estimates of these relationships. The study provides new insights into the relationships between macroeconomic variables and stock markets in recent decades, which has important implications for the work of fundamental analysts and for investors in constructing investment strategies. The study could be continued by extending and restructuring the period under review and expanding the range of countries covered. At the same time, it would be appropriate and useful to examine in more detail the interrelationships and influences between individual macroeconomic variables. This study provides an original analysis of the interrelationships between the movement of macroeconomic variables and stock prices using the VAR model, which allows for a deeper understanding of the interconnections and correlations. The analysis conducted in this study provides useful insights for the practical application of fundamental stock analysis, as well as applicable insights for further research into the functioning of stock markets.

Druh

C - Kapitola v odborné knize

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název knihy nebo sborníku

Financial markets and flows in an era of monetary, fiscal, and societal challenges

ISBN

9788074082894

Počet stran výsledku

14

Strana od-do

151-164

Počet stran knihy

197

Název nakladatele

University of Finance and Administration

Místo vydání

Praha

Kód UT WoS kapitoly

—