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

@article{31997,
   author = {Stavárek, Daniel and Ligocká, Marie},
   article_number = {42},
   keywords = {financial sector; macroeconomic variables; Austria; cointegration; global financial crisis},
   language = {eng},
   issn = {1211-555X},
   journal = {Scientific Papers of the University of Pardubice Series D},
   title = {What Macroeconomic Variables Drive the Stock Returns of Austrian Financial Institutions?},
   url = {https://fes.upce.cz/sites/default/files/public/mika0267/obsah_casopisu_scipap_42_2018_109452.pdf},
   volume = {25},
   year = {2018}
}

TY  - JOUR
ID  - 31997
AU  - Stavárek, Daniel - Ligocká, Marie
PY  - 2018
TI  - What Macroeconomic Variables Drive the Stock Returns of Austrian Financial Institutions?
JF  - Scientific Papers of the University of Pardubice Series D
VL  - 25
IS  - 42
SP  - 128-139
EP  - 128-139
SN  - 1211555X
KW  - financial sector
KW  - macroeconomic variables
KW  - Austria
KW  - cointegration
KW  - global financial crisis
UR  - https://fes.upce.cz/sites/default/files/public/mika0267/obsah_casopisu_scipap_42_2018_109452.pdf
L2  - https://fes.upce.cz/sites/default/files/public/mika0267/obsah_casopisu_scipap_42_2018_109452.pdf
N2  - 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 factors used have a primarily negative impact on the stock returns of the select institutions.
ER  - 

STAVÁREK, Daniel a Marie LIGOCKÁ. What Macroeconomic Variables Drive the Stock Returns of Austrian Financial Institutions? \textit{Scientific Papers of the University of Pardubice Series D}. roč.~25, č.~42, s.~128-139. ISSN~1211-555X. 2018.