IDEAS home Printed from https://ideas.repec.org/a/vrs/coecre/v20y2017i3p5-23n1.html
   My bibliography  Save this article

The Relationship Between Stock Market Development and Macroeconomic Fundamentals in the Visegrad Group

Author

Listed:
  • Pražák Tomáš

    (Ing., Silesian University in Opava, School of Business Administration in Karviná Department of Finance and Accounting, Opava,Czech Republic)

  • Stavárek Daniel

    (Prof., Ing., Silesian University in Opava, School of Business Administration in Karviná, Department of Finace and Accounting, Opava, Czech Republic)

Abstract

This study examines the effect of specific macroeconomic factors on the stock prices of selected financial sector companies listed on the Central European Exchanges (Budapest Stock Exchange, Prague Stock Exchange, Bratislava Stock Exchange, or Warsaw Stock Exchange). We investigate the nature of the causal relationships between macroeconomic factors and stock prices. The long‑term causality, tested using the Johansen cointegration test, and the short‑run dynamics between the variables, examined using the VECM model, are explored using quarterly data from the 2005-2014 period. The short‑term causality shows the possibility of time series fluctuations; however a steady state should be achieved in the long‑term. In general, we confirmed that macroeconomic fundamentals had a negative impact on stock prices. The interest rate, which also has a negative impact, is the most prominent predictor of the long‑run developments. We also found very rare examples of macroeconomic variables that explain changes in stock prices within the VECM framework.

Suggested Citation

  • Pražák Tomáš & Stavárek Daniel, 2017. "The Relationship Between Stock Market Development and Macroeconomic Fundamentals in the Visegrad Group," Comparative Economic Research, Sciendo, vol. 20(3), pages 5-23, September.
    • Handle: RePEc:vrs:coecre:v:20:y:2017:i:3:p:5-23:n:1
    DOI: 10.1515/cer-2017-0017
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/cer-2017-0017
    Download Restriction: no
    File URL: https://libkey.io/10.1515/cer-2017-0017?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Veronika Kajurová, 2017. "A Note on Relationship between Economic Activity and Stock Market Development: a Case of Euro Area Countries," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 65(6), pages 1953-1965.
    2. Lukasz Zieba, 2021. "Stock Exchange Development in V4 Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 4), pages 300-307.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vrs:coecre:v:20:y:2017:i:3:p:5-23:n:1. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.sciendo.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.