The Stock Markets and Real Economic Activity
AbstractThe goal of this paper is to provide new evidence on the bidirectional relationships between economic activity indicators and stock market returns in four Central and Eastern European (CEE) countries: Poland, the Czech Republic, Hungary, and Slovakia. Using the single equation error correction model (SEECM) framework of cointegration analysis, the Engle-Granger two-step procedure, single-equation Granger causality tests, and the Toda-Yamamoto (1995) approach, this paper presents results for the Czech Republic, Poland, and Hungary that are generally in accordance with the present value theory of stock prices. Thus, the stock market indexes for these countries are leading indicators of the state of the real economy. However, as explained here, the results for Hungary must be interpreted with greater caution. In addition, as was expected, the results for Slovakia were very different from those of the other countries.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by M.E. Sharpe, Inc. in its journal Eastern European Economics.
Volume (Year): 49 (2011)
Issue (Month): 4 (July)
Contact details of provider:
Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=106044
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Lyócsa, Štefan & Výrost, Tomáš & Baumöhl, Eduard, 2011. "Unit-root and stationarity testing with empirical application on industrial production of CEE-4 countries," MPRA Paper 29648, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Nguyen).
If references are entirely missing, you can add them using this form.