PRAŽÁK, Tomáš a Daniel STAVÁREK. THE RELATIONSHIP BETWEEN STOCK MARKET DEVELOPMENT AND MACROECONOMIC FUNDAMENTALS IN THE VISEGRAD GROUP. COMPARATIVE ECONOMIC RESEARCH - CENTRAL AND EASTERN EUROPE. Walter de Gruyter GmbH, roč. 20, č. 3, s. 5-24, 19 s. ISSN 2082-6737. 2017.
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Základní údaje
Originální název THE RELATIONSHIP BETWEEN STOCK MARKET DEVELOPMENT AND MACROECONOMIC FUNDAMENTALS IN THE VISEGRAD GROUP
Autoři PRAŽÁK, Tomáš (203 Česká republika, domácí) a Daniel STAVÁREK (203 Česká republika, domácí).
Vydání COMPARATIVE ECONOMIC RESEARCH - CENTRAL AND EASTERN EUROPE, Walter de Gruyter GmbH, 2017, 2082-6737.
Další údaje
Originální jazyk angličtina
Typ výsledku Článek v odborném periodiku
Obor 50202 Applied Economics, Econometrics
Stát vydavatele Polsko
Utajení není předmětem státního či obchodního tajemství
Kód RIV RIV/47813059:19520/17:00010953
Organizační jednotka Obchodně podnikatelská fakulta v Karviné
Klíčová slova anglicky stock prices; macroeconomic fundamentals; Visegrad Group; causality; VECM
Změnil Změnil: RNDr. Daniel Jakubík, učo 139797. Změněno: 7. 2. 2020 10:58.
Anotace
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 explain changes in stock prices within the VECM framework.
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