What Macroeconomic Variables Drive the Stock Returns of Austrian Financial Institutions?

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F18%3A00011083" target="_blank" >RIV/47813059:19520/18:00011083 - isvavai.cz</a>

Výsledek na webu

<a href="https://fes.upce.cz/sites/default/files/public/mika0267/obsah_casopisu_scipap_42_2018_109452.pdf" target="_blank" >https://fes.upce.cz/sites/default/files/public/mika0267/obsah_casopisu_scipap_42_2018_109452.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

What Macroeconomic Variables Drive the Stock Returns of Austrian Financial Institutions?

Popis výsledku v původním jazyce

The stock prices of companies are influenced by many variables; the predominant ones are macroeconomic factors. The objective of this paper is to analyze the existence of a relationship between select macroeconomic variables and the stock returns of financial sector companies listed on the Vienna Stock Exchange. The institutions that were chosen are CA Immobilien Anlagen, Erste Group Bank AG, Immofinanz AG, Raiffeisen Bank International AG, Uniqa Insurance Group AG and Vienna Insurance Group AG. The focus is on Austria due to the lack of empirical literature on stock prices, stock returns and the indicators that influence them. A time series with a quarterly frequency is used to examine the occurrence of long term and short-term relationship links using the Johansen cointegration test and the Vector Error Correction Model (VECM). The empirical estimates are calculated for the 2005 - 2015 period, which includes the global financial crisis. Our main finding is that the macroeconomic fact ors used have a primarily negative impact on the stock returns of the select institutions.

Název v anglickém jazyce

What Macroeconomic Variables Drive the Stock Returns of Austrian Financial Institutions?

Popis výsledku anglicky

The stock prices of companies are influenced by many variables; the predominant ones are macroeconomic factors. The objective of this paper is to analyze the existence of a relationship between select macroeconomic variables and the stock returns of financial sector companies listed on the Vienna Stock Exchange. The institutions that were chosen are CA Immobilien Anlagen, Erste Group Bank AG, Immofinanz AG, Raiffeisen Bank International AG, Uniqa Insurance Group AG and Vienna Insurance Group AG. The focus is on Austria due to the lack of empirical literature on stock prices, stock returns and the indicators that influence them. A time series with a quarterly frequency is used to examine the occurrence of long term and short-term relationship links using the Johansen cointegration test and the Vector Error Correction Model (VECM). The empirical estimates are calculated for the 2005 - 2015 period, which includes the global financial crisis. Our main finding is that the macroeconomic fact ors used have a primarily negative impact on the stock returns of the select institutions.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název periodika

Scientific Papers of the University of Pardubice Series D

ISSN

1211-555X

e-ISSN

1804-8048

Svazek periodika

25

Číslo periodika v rámci svazku

42

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

12

Strana od-do

128-139

Kód UT WoS článku

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EID výsledku v databázi Scopus

2-s2.0-85046248316