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Macroeconomic Variables and the Stock Market: the Case of Lithuania

  • Yu Hsing
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    Applying the EGARCH model, this paper finds that Lithuania's stock market index is positively impacted by real GDP, the M2/GDP ratio, and the stock market indexes in the U.S. and Germany and negatively affected by the ratio of the government deficit to GDP, the LTL/USD exchange rate or depreciation of the litas, the domestic real interest rate, the expected inflation rate, and the euro area government bond yield. Hence, a declining government deficit/GDP ratio, a lower interest rate or more money supply relative to GDP, the appreciation of the litas, a lower foreign interest rate, or a robust world stock market would help the stock market in Lithuania .

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    Article provided by Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante in its journal The Review of Finance and Banking.

    Volume (Year): 03 (2011)
    Issue (Month): 1 (June)
    Pages: 031-037

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    Handle: RePEc:rfb:journl:v:03:y:2011:i:1:p:031-037
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