This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Macroeconomic factors’ influence on “new” European countries stock returns: the case of four transition economies

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Aristeidis Samitas (University of Aegean)
Dimitris Kenourgios (University of Athens)

Additional information is available for the following registered author(s):

Abstract

This 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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://129.3.20.41/eps/fin/papers/0512/0512022.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by EconWPA in its series Finance with number 0512022.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 25 pages
Date of creation: 20 Dec 2005
Date of revision:
Handle: RePEc:wpa:wuwpfi:0512022

Note: Type of Document - pdf; pages: 25
Contact details of provider:
Web page: http://129.3.20.41

For technical questions regarding this item, or to correct its listing, contact: (EconWPA).

Related research
Keywords: Stock returns macroeconomic factors present value model Central-Eastern (“New”) stock markets “Old” European stock markets USA.

Other versions of this item:

Find related papers by JEL classification:
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
    Other versions:
  2. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
  3. Chen, Nai-Fu, 1991. " Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-54, June. [Downloadable!] (restricted)
  4. Pesaran, M. H. & Smith, Ron P., 1998. "Structural Analysis of Cointegrating VARs," Cambridge Working Papers in Economics 9811, Faculty of Economics, University of Cambridge.
    Other versions:
  5. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  6. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July. [Downloadable!] (restricted)
  7. Chelley-Steeley, Patricia L & Steeley, James M, 1999. "Changes in the Comovement of European Equity Markets," Economic Inquiry, Oxford University Press, vol. 37(3), pages 473-88, July.
  8. Nasseh, Alireza & Strauss, Jack, 2000. "Stock prices and domestic and international macroeconomic activity: a cointegration approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 229-245. [Downloadable!] (restricted)
  9. Cheung, Yin-Wong & Ng, Lilian K., 1998. "International evidence on the stock market and aggregate economic activity," Journal of Empirical Finance, Elsevier, vol. 5(3), pages 281-296, September. [Downloadable!] (restricted)
  10. Gilmore, Claire G. & McManus, Ginette M., 2002. "International portfolio diversification: US and Central European equity markets," Emerging Markets Review, Elsevier, vol. 3(1), pages 69-83, March. [Downloadable!] (restricted)
  11. Groenewold, Nicolaas, 1997. "Share Market Efficiency: Tests Using Daily Data for Australia and New Zealand," Applied Financial Economics, Taylor and Francis Journals, vol. 7(6), pages 645-57, December. [Downloadable!] (restricted)
  12. Pesaran, M.H. & Shin, Y., 1995. "An Autoregressive Distributed Lag Modelling Approach to Cointegration Analysis," Cambridge Working Papers in Economics 9514, Faculty of Economics, University of Cambridge.
  13. Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September. [Downloadable!] (restricted)
  14. Swanson, Peggy E., 2003. "The interrelatedness of global equity markets, money markets, and foreign exchange markets," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 135-155. [Downloadable!] (restricted)
  15. Cheung, Yin-Wong & He, Jia & Ng, Lilian, 1994. "Pacific-Basin stock markets and real activity," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 349-373, May. [Downloadable!] (restricted)
    Other versions:
  16. Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent J., 2001. "Selecting macroeconomic variables as explanatory factors of emerging stock market returns," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 401-426, August. [Downloadable!] (restricted)
  17. Jan Hanousek & Randall K. Filer, 2000. "The Relationship Between Economic Factors and Equity Markets in Central Europe," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 8(3), pages 623-638, November. [Downloadable!] (restricted)
    Other versions:
  18. Maysami, Ramin Cooper & Koh, Tiong Sim, 2000. "A vector error correction model of the Singapore stock market," International Review of Economics & Finance, Elsevier, vol. 9(1), pages 79-96, February. [Downloadable!] (restricted)
  19. Masih, Rumi & Masih, Abul M. M., 1996. "Macroeconomic activity dynamics and Granger causality: New evidence from a small developing economy based on a vector error-correction modelling analysis," Economic Modelling, Elsevier, vol. 13(3), pages 407-426, July. [Downloadable!] (restricted)
  20. Gerrits, Robert-Jan & Yuce, Ayse, 1999. "Short- and Long-Term links among European and US Stock Markets," Applied Financial Economics, Taylor and Francis Journals, vol. 9(1), pages 1-9, February. [Downloadable!] (restricted)
  21. Chen, Gong-meng & Firth, Michael & Meng Rui, Oliver, 2002. "Stock market linkages: Evidence from Latin America," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1113-1141, June. [Downloadable!] (restricted)
  22. Mookerjee, Rajen & Yu, Qiao, 1997. "Macroeconomic variables and stock prices in a small open economy: The case of Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 377-388, July. [Downloadable!] (restricted)
  23. Chaudhuri, Kausik & Wu, Yangru, 2003. "Random walk versus breaking trend in stock prices: Evidence from emerging markets," Journal of Banking & Finance, Elsevier, vol. 27(4), pages 575-592, April. [Downloadable!] (restricted)
    Other versions:
  24. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April. [Downloadable!] (restricted)
  25. Ratanapakorn, Orawan & Sharma, Subhash C., 2002. "Interrelationships among regional stock indices," Review of Financial Economics, Elsevier, vol. 11(2), pages 91-108. [Downloadable!] (restricted)
  26. Jay Choi, Jongmoo & Hauser, Shmuel & Kopecky, Kenneth J., 1999. "Does the stock market predict real activity? Time series evidence from the G-7 countries," Journal of Banking & Finance, Elsevier, vol. 23(12), pages 1771-1792, December. [Downloadable!] (restricted)
  27. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? Over 77% of the top 1000 economists are registered on RePEc.

This page was last updated on 2008-10-2.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.