STAVÁREK, Daniel and Marie LIGOCKÁ. What Macroeconomic Variables Drive the Stock Returns of Austrian Financial Institutions? Scientific Papers of the University of Pardubice Series D. 2018, vol. 25, No 42, p. 128-139. ISSN 1211-555X.
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Basic information
Original name What Macroeconomic Variables Drive the Stock Returns of Austrian Financial Institutions?
Authors STAVÁREK, Daniel (203 Czech Republic, guarantor, belonging to the institution) and Marie LIGOCKÁ (203 Czech Republic, belonging to the institution).
Edition Scientific Papers of the University of Pardubice Series D, 2018, 1211-555X.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 50202 Applied Economics, Econometrics
Country of publisher Czech Republic
Confidentiality degree is not subject to a state or trade secret
WWW URL
RIV identification code RIV/47813059:19520/18:00011083
Organization unit School of Business Administration in Karvina
Keywords in English financial sector; macroeconomic variables; Austria; cointegration; global financial crisis
Changed by Changed by: Ing. Andrea Valentíny, učo 19128. Changed: 11/1/2021 11:03.
Abstract
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.
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