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Impacts of macroeconomic variables on the stock market index in Poland: new evidence

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  • Yu Hsing
  • Wen-jen Hsieh

Abstract

Applying the GARCH or ARCH model, this paper finds that Poland's stock market index is positively associated with industrial production or real GDP and the German stock market index, negatively affected by the government borrowing/GDP ratio, the real interest rate, the nominal effective exchange rate, the expected inflation rate, and the government bond yield in the euro area, and exhibits a quadratic relationship with the M2/GDP ratio. It suggests that the stock market index and the M2/GDP ratio show a positive (negative) relationship if the M2/GDP ratio is less (greater) than the critical value of 43.68%. Hence, to maintain a healthy stock market, the Polish authorities are expected to pursue economic growth, reduce government borrowing, avoid currency appreciation, and keep a relatively low interest rate or a relatively low expected inflation rate. Although currency appreciation has a negative impact on the stock market index, it is possible that the negative relationship might change if a certain threshold value is reached in the future.

Suggested Citation

  • Yu Hsing & Wen-jen Hsieh, 2011. "Impacts of macroeconomic variables on the stock market index in Poland: new evidence," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 13(2), pages 334-343, May.
  • Handle: RePEc:taf:jbemgt:v:13:y:2011:i:2:p:334-343
    DOI: 10.3846/16111699.2011.620133
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    References listed on IDEAS

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    Cited by:

    1. Sugeng Wahyudi & H. Hersugondo & Rio Dhani Laksana & R. Rudy, 2017. "Macroeconomic Fundamental and Stock Price Index in Southeast Asia Countries: A Comparative Study," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 182-187.
    2. Tihana Skrinjaric, 2014. "Investment Strategy on the Zagreb Stock Exchange Based on Dynamic DEA," Croatian Economic Survey, The Institute of Economics, Zagreb, vol. 16(1), pages 129-160, April.
    3. Corina Saman, 2015. "Asymmetric Interaction between Stock Price Index and Exchange Rates: Empirical Evidence for Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 90-109, December.
    4. Wei Sun & Kuhelika De, 2019. "Real Exchange Rate, Monetary Policy, And The U.S. Economy: Evidence From A Favar Model," Economic Inquiry, Western Economic Association International, vol. 57(1), pages 552-568, January.

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