THE RELATIONSHIP BETWEEN STOCK MARKET DEVELOPMENT AND MACROECONOMIC FUNDAMENTALS IN THE VISEGRAD GROUP

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

THE RELATIONSHIP BETWEEN STOCK MARKET DEVELOPMENT AND MACROECONOMIC FUNDAMENTALS IN THE VISEGRAD GROUP

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

THE RELATIONSHIP BETWEEN STOCK MARKET DEVELOPMENT AND MACROECONOMIC FUNDAMENTALS IN THE VISEGRAD GROUP

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

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

Název periodika

Comparative Economic Research

ISSN

2082-6737

e-ISSN

—

Svazek periodika

20

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

PL - Polská republika

Počet stran výsledku

19

Strana od-do

5-24

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85030229601