The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies

Popis výsledku anglicky

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

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název periodika

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Svazek periodika

64

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

10

Strana od-do

2015-2024

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85008622752