Show simple item record

dc.contributor.authorPražák, Tomášen
dc.contributor.authorStavárek, Danielen
dc.date.accessioned2018-03-05T11:50:08Z
dc.date.available2018-03-05T11:50:08Z
dc.date.issued2017-09-19en
dc.identifier.issn1508-2008en
dc.identifier.urihttp://hdl.handle.net/11089/24192
dc.description.abstractThis 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.en
dc.publisherWydawnictwo Uniwersytetu Łódzkiegoen
dc.relation.ispartofseriesComparative Economic Research;20en
dc.rightsThis work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.en
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0en
dc.subjectstock pricesen
dc.subjectmacroeconomic fundamentalsen
dc.subjectVisegrad Groupen
dc.subjectcausalityen
dc.subjectVECMen
dc.titleThe Relationship Between Stock Market Development and Macroeconomic Fundamentals in the Visegrad Groupen
dc.page.number5-23en
dc.contributor.authorAffiliationPražák, Tomáš - Ing., Silesian University in Opava, School of Business Administration in Karviná Department of Finance and Accounting, Opava,Czech Republicen
dc.contributor.authorAffiliationStavárek, Daniel - Prof., Ing., Silesian University in Opava, School of Business Administration in Karviná, Department of Finace and Accounting, Opava, Czech Republicen
dc.referencesCalderón C. and Liu L. (2003), The direction of causality between financial development and economic growth, ʽJournal of Development Economicsʼ, Elsevier, Amsterdam, no. 72.en
dc.referencesChen N.F., Roll R. and Ross S.A. (1986), Economic forces and the stock market, ʽThe Journal of Businessʼ, The University of Chicago Press, Chicago, no. 59.en
dc.referencesChoi J.J., Elyasini E. and Kopecky K.J. (1992), The sensitivity of bank stock returns to market, interest and exchange rate risks, ʽJournal of Banking and Financeʼ, Elsevier, Amsterdam, no. 16.en
dc.referencesFama E. (1970), Efficient capital markets: A review of theory and empirical work, ʽThe Journal of Financeʼ, Blackwell Publishing for the American Finance Association, Malden, no. 25.en
dc.referencesFama E. (1981), Stock returns, real activity, inflation and money, ʽAmerican Economic Reviewʼ, American Economic Association, Nashville, no. 71.en
dc.referencesGajdka J. and Pietraszewski P. (2016), Economic growth and stock prices: Evidence from Central and Eastern European countries, ʽComparative Economic Researchʼ, De Gruyter Open, Warsaw, no. 19.en
dc.referencesGarcia V .F. and Liu L. (1999), Macroeconomic determinants of stock market development, ʽThe Journal of Applied Economicsʼ, Elsevier, Amsterdam, no. 2.en
dc.referencesGranger C.W.J. (1969), Investigating causal relations by econometric models and cross‑spectral methods, ʽEconometricaʼ, The Econometric Society, New York, no. 37.en
dc.referencesHanousek J. and Filer R.K. (2000), The relationship between economic factors and equity markets in Central Europe, ʽEconomics of Transitionʼ, Wiley‑Blackwell on behalf of the European Bank for Reconstruction and Development, London, no. 8.en
dc.referencesHorobet A. and Dumitrescu S. (2009), On the causal relationships between monetary, financial and real macroeconomic variables? Evidence from Central and Eastern Europe, ʽEconomic Computation and Economic Cybernetics Studies and Researchʼ, Editura Academia de Studii Economice, Bucharest, no. 43.en
dc.referencesJohansen S. and Juselius K. (1990), Maximum likelihood estimation and inference on cointegration- with applications to the demand for money, ʽOxford Bulletin of Economics and Statisticsʼ, Wiley‑Blackwell on behalf of Blackwell Publishing Ltd and University of Oxford Department of Economics, Oxford, no. 52.en
dc.referencesKulhánek L. (2012), The relationship between stock markets and gross domestic product in the Central and Eastern Europe, [in:] Jana Kotlebová (eds) The 7th International Conference on Currency, Banking and International Finance‑How Does Central and Eastern Europe Cope up with the Global Financial Crisis, University of Economics in Bratislava, Bratislava.en
dc.referencesStoica O., Nucu A.E. and Diaconasu D.E. (2014), Interest rates and stock prices: Evidence from Central and Eastern European markets, ʽEmerging Markets Finance and Tradeʼ, Routledge, Abingdon, no. 50.en
dc.referencesRoss S.A. (1976), The arbitrage theory of capital asset pricing, ʽJournal of Economic Theoryʼ, Elsevier, Amsterdam, no. 13.en
dc.contributor.authorEmailPražák, Tomáš - prazak@opf.slu.czen
dc.contributor.authorEmailStavárek, Daniel - stavarek@opf.slu.czen
dc.identifier.doi10.1515/cer-2017-0017en


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
Except where otherwise noted, this item's license is described as This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.