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Regional Limitations of Stock Indices Prediction Models Based on Macroeconomic Variables

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  • Kvainickas Tomas Sovijus
  • Stankevičienė Jelena

    (Department of Financial Engineering, Faculty of Business Management, Vilnius Gediminas Technical University, Saulėtekio al. 11, LT-10223 Vilnius, Lithuania)

Abstract

Research purpose. Stocks as well as other securities are a crucial part of the financial market that helps to redistribute financial resources amongst market participants, which in a modern economy include not only professional stock players but also many common individuals seeking to increase their capital. Previous studies found a strong relationship between the macroeconomic variables and stock returns but often the explanatory power of those models seems to be limited in the applicable region. The aim of this article is to establish whether each region’s stock indices have to be predicted based on a separate set of variables.

Suggested Citation

  • Kvainickas Tomas Sovijus & Stankevičienė Jelena, 2019. "Regional Limitations of Stock Indices Prediction Models Based on Macroeconomic Variables," Economics and Culture, Sciendo, vol. 16(2), pages 5-20, December.
    • Handle: RePEc:vrs:ecocul:v:16:y:2019:i:2:p:5-20:n:1
    DOI: 10.2478/jec-2019-0018
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    References listed on IDEAS

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    More about this item

    Keywords

    stock indices; macroeconomic variables; prediction; relationship; correlation – regression analysis;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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