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The causal link between Polish stock market and key macroeconomic aggregates

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  • Gurgul, Henryk
  • Lach, Łukasz

Abstract

This paper with the application of linear, nonlinear and long–run Granger causality tests, examines the causal links between the main Polish market price index (WIG) of the Warsaw Stock Exchange and four macroeconomic aggregates, namely the value of sold industrial production, the unemployment rate, the interest rate and the rate of inflation using monthly data for the period from January 1998 to June 2008. We found a bidirectional linear causal relationship between the stock market index and sold industrial production and strong evidence of linear and nonlinear Granger causality from changes in the interest rate to fluctuations in the stock market index. Furthermore, all examined macroeconomic variables were found to have a long-run causal influence on the performance of the stock market.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 52250.

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Date of creation: 2010
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Handle: RePEc:pra:mprapa:52250

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Related research

Keywords: stock market; macroeconomic aggregates; cointegration; linear and nonlinear causality; market efficienc;

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References

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Citations

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Cited by:
  1. Lach, Łukasz, 2011. "Impact of hard coal usage for metal production on economic growth of Poland," MPRA Paper 52282, University Library of Munich, Germany.
  2. Gurgul, Henryk & Lach, Łukasz, 2011. "The role of coal consumption in the economic growth of the Polish economy in transition," MPRA Paper 52235, University Library of Munich, Germany, revised 2011.
  3. Gurgul, Henryk & Łukasz, Lach, 2011. "Financial development and economic growth in Poland in transition: causality analysis," MPRA Paper 38034, University Library of Munich, Germany.
  4. Lach, Łukasz, 2014. "Oil usage, gas consumption and economic growth: Evidence from Poland," MPRA Paper 52253, University Library of Munich, Germany.
  5. Lach, Łukasz, 2010. "Fixed capital and long run economic growth: evidence from Poland," MPRA Paper 52280, University Library of Munich, Germany.
  6. Gurgul, Henryk & Lach, Lukasz, 2011. "The electricity consumption versus economic growth of the Polish economy," MPRA Paper 35785, University Library of Munich, Germany.
  7. Gurgul, Henryk & Lach, Łukasz, 2011. "The interdependence between energy consumption and economic growth in the Polish economy in the last decade," MPRA Paper 52283, University Library of Munich, Germany.
  8. Gurgul, Henryk & Lach, Łukasz, 2012. "Technological progress and economic growth: evidence from Poland," MPRA Paper 52279, University Library of Munich, Germany.

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