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Modeling relations between selected macroeconomic processes and the Warsaw Stock Exchange index

Author

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  • Piotr Fiszeder

    (Nicolaus Copernicus University)

  • Sebastian Rowinski

    (Nicolaus Copernicus University)

Abstract

The relations between a stock market and macroeconomic processes are objects of interest of this paper. The existence of the long-run dependence between the Warsaw Stock Exchange Index and selected macroeconomic processes was demonstrated. A positive influence on the WIG index in the cointegrating vector had the GDP and the first differences of the money supply, whereas a negative one the rate of inflation and the CRB commodities index. Significant short-term relations were also observed. A positive influence on the first differences of the WIG index had the lagged first differences of the CRB index and a negative one the lagged second differences of the money supply. The results of the research are typical for emerging markets. Furthermore they show that analyzed processes do not have a meaningful impact on the short-term fluctuations of stock prices quoted on the Warsaw Stock Exchange.

Suggested Citation

  • Piotr Fiszeder & Sebastian Rowinski, 2012. "Modeling relations between selected macroeconomic processes and the Warsaw Stock Exchange index," Ekonomia i Prawo, Uniwersytet Mikolaja Kopernika, vol. 10(3), pages 153-167, September.
    • Handle: RePEc:cpn:umkeip:v:10:y:2012:i:3:p:153-167
    DOI: 10.12775/EiP.2012.029
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