PRAŽÁK, Tomáš and 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, 2017, vol. 20, No 3, p. 5-24, 19 pp. ISSN 2082-6737.
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Basic information
Original name THE RELATIONSHIP BETWEEN STOCK MARKET DEVELOPMENT AND MACROECONOMIC FUNDAMENTALS IN THE VISEGRAD GROUP
Authors PRAŽÁK, Tomáš (203 Czech Republic, belonging to the institution) and Daniel STAVÁREK (203 Czech Republic, belonging to the institution).
Edition COMPARATIVE ECONOMIC RESEARCH - CENTRAL AND EASTERN EUROPE, Walter de Gruyter GmbH, 2017, 2082-6737.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 50202 Applied Economics, Econometrics
Country of publisher Poland
Confidentiality degree is not subject to a state or trade secret
RIV identification code RIV/47813059:19520/17:00010953
Organization unit School of Business Administration in Karvina
Keywords in English stock prices; macroeconomic fundamentals; Visegrad Group; causality; VECM
Changed by Changed by: RNDr. Daniel Jakubík, učo 139797. Changed: 7/2/2020 10:58.
Abstract
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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