Advanced Search
MyIDEAS: Login

The Stock Markets and Real Economic Activity

Contents:

Author Info

  • Stefan Lyocsa
  • Eduard Baumohl
  • Tomas Vyrost

Abstract

The 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 Info

If 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.
File URL: http://mesharpe.metapress.com/link.asp?target=contribution&id=7312176247538V5U
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by M.E. Sharpe, Inc. in its journal Eastern European Economics.

Volume (Year): 49 (2011)
Issue (Month): 4 (July)
Pages: 6-23

as in new window
Handle: RePEc:mes:eaeuec:v:49:y:2011:i:4:p:6-23

Contact details of provider:
Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=106044

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. 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.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:mes:eaeuec:v:49:y:2011:i:4:p:6-23. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Chris Nguyen).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.