Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/184438
Authors: 
Pražák, Tomáš
Stavárek, Daniel
Year of Publication: 
2017
Citation: 
[Journal:] Comparative Economic Research [Volume:] 20 [Year:] 2017 [Issue:] 3 [Pages:] 5-23
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.
Subjects: 
stock prices
macroeconomic fundamentals
Visegrad Group
causality
VECM
JEL: 
E02
G15
G21
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0
Document Type: 
Article
Social Media Mentions:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.