Macroeconomic factors’ influence on “new” European countries stock returns: the case of four transition economies
AbstractThis 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 (U.K., 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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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0512022.
Length: 25 pages
Date of creation: 20 Dec 2005
Date of revision:
Note: Type of Document - pdf; pages: 25
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Stock returns; macroeconomic factors; present value model; Central-Eastern (“New”) stock markets; “Old” European stock markets; USA.;
Other versions of this item:
- 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.
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-01 (All new papers)
- NEP-EEC-2006-01-01 (European Economics)
- NEP-FIN-2006-01-01 (Finance)
- NEP-FMK-2006-01-01 (Financial Markets)
- NEP-MAC-2006-01-01 (Macroeconomics)
- NEP-TRA-2006-01-01 (Transition Economics)
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