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Macroeconomic factors' influence on 'new' European countries' stock returns: the case of four transition economies

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  • Aristeidis G. Samitas
  • Dimitris F. Kenourgios

Abstract

This paper investigates whether current and future domestic and international macroeconomic variables can explain long and short run stock returns in four 'new' European countries (Poland, Czech Republic, Slovakia and Hungary). 'Old' western European countries (UK, France, Italy and Germany) are included in the empirical analysis, whilst USA is considered as a 'foreign global influence'. Using the present value model of stock prices and a complete range of cointegration and causality tests, it is found that 'new' European stock markets are not perfectly integrated with foreign financial markets, while domestic economic activity and the German factor are more influential on these stock markets than the American global factor.

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  • Aristeidis G. Samitas & Dimitris F. Kenourgios, 2007. "Macroeconomic factors' influence on 'new' European countries' stock returns: the case of four transition economies," International Journal of Financial Services Management, Inderscience Enterprises Ltd, vol. 2(1/2), pages 34-49.
    • Handle: RePEc:ids:ijfsmg:v:2:y:2007:i:1/2:p:34-49
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    Cited by:

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    2. Lyócsa, Štefan, 2014. "Growth-returns nexus: Evidence from three Central and Eastern European countries," Economic Modelling, Elsevier, vol. 42(C), pages 343-355.
    3. Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2018. "Time varying integration amongst the South Asian equity markets: An empirical study," Cogent Economics & Finance, Taylor & Francis Journals, vol. 6(1), pages 1452328-145, January.
    4. Siti Muliana Samsi & Zarinah Yusof & Kee-Cheok Cheong, 2012. "Linkages Between the Real Sector and the Financial Sector: The Case of Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 8(Supp. 1), pages 93-113.
    5. Yu Hsing, 2013. "Effects of Fiscal Policy and Monetary Policy on the Stock Market in Poland," Economies, MDPI, vol. 1(3), pages 1-7, October.
    6. Yu Hsing & Wen-jen Hsieh, 2011. "Impacts of macroeconomic variables on the stock market index in Poland: new evidence," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 13(2), pages 334-343, May.
    7. Kenourgios, Dimitris & Samitas, Aristeidis, 2011. "Equity market integration in emerging Balkan markets," Research in International Business and Finance, Elsevier, vol. 25(3), pages 296-307, September.
    8. Mihovil An?elinovi? & Livija Valenti? & Ana Pavkovi?, 2020. "Equity Fund Performance and Sector Diversification," International Journal of Economic Sciences, International Institute of Social and Economic Sciences, vol. 9(1), pages 25-43, June.
    9. Syllignakis, Manolis N. & Kouretas, Georgios P., 2011. "Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 717-732, October.
    10. Gagan Sharma & Parthajit Kayal & Piyush Pandey, 2019. "Information Linkages Among BRICS Countries: Empirical Evidence from Implied Volatility Indices," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(3), pages 263-289, December.
    11. Florin Aliu & Adriana Knápková & Hoang Khang Tran & Bashkim Nurboja, 2020. "Modeling the Equilibrium Price of the Companies Listed in the Prague Stock Exchange," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 68(4), pages 731-739.
    12. Nikolaos SARIANNIDIS & Grigoris GIANNARAKIS & Nicolaos LITINAS & George KONTEOS, 2010. "Á GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Market Index and the Sustainability Index," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 129-142.
    13. Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2018. "Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 389-425, June.
    14. Nikolaos Sariannidis & Eleni Zafeiriou & Grigoris Giannarakis & Garyfallos Arabatzis, 2013. "CO2 Emissions and Financial Performance of Socially Responsible Firms: An Empirical Survey," Business Strategy and the Environment, Wiley Blackwell, vol. 22(2), pages 109-120, February.
    15. Chaido Dritsaki, 2011. "The Random Walk Hypothesis and Correlation in the Visegrad Countries Emerging Stock Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(40), pages 25-56, June.
    16. repec:usm:journl:aamjaf00811__93-113 is not listed on IDEAS
    17. Kenourgios, Dimitris & Samitas, Aristeidis, 2009. "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 197-221.

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