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

Author

Listed:
  • Aristeidis Samitas

    (University of Aegean)

  • Dimitris Kenourgios

    (University of Athens)

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.

Suggested Citation

  • Aristeidis Samitas & Dimitris Kenourgios, 2005. "Macroeconomic factors’ influence on “new” European countries stock returns: the case of four transition economies," Finance 0512022, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0512022 Note: Type of Document - pdf; pages: 25
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Lyócsa, Štefan, 2014. "Growth-returns nexus: Evidence from three Central and Eastern European countries," Economic Modelling, Elsevier, vol. 42(C), pages 343-355.
    2. Florent DEISTING & Sanjay SEHGAL & Piyush PANDEY, 2017. "Time Varying Integration amongst the South Asian Equity Markets: An Empirical Study," Working Papers 2016-2017_7, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Apr 2017.
    3. Siti Muliana Samsi & Zarinah Yusof & Kee-Cheok Cheong, 2012. "Linkages Between the Real Sector and the Financial Sector: The Case of Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 8(Supp. 1), pages 93-113.
    4. Yu Hsing, 2013. "Effects of Fiscal Policy and Monetary Policy on the Stock Market in Poland," Economies, MDPI, Open Access Journal, vol. 1(3), pages 1-7, October.
    5. Kenourgios, Dimitris & Samitas, Aristeidis, 2011. "Equity market integration in emerging Balkan markets," Research in International Business and Finance, Elsevier, vol. 25(3), pages 296-307, September.
    6. Nikolaos SARIANNIDIS & Grigoris GIANNARAKIS & Nicolaos LITINAS & George KONTEOS, 2010. "Á GARCH Examination of Macroeconomic Effects on U.S. Stock Market: A Distinction Between the Total Market Index and the Sustainability Index," European Research Studies Journal, European Research Studies Journal, vol. 0(1), pages 129-142.
    7. Chaido Dritsaki, 2011. "The Random Walk Hypothesis and Correlation in the Visegrad Countries Emerging Stock Markets," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(40), pages 25-56, June.
    8. Kenourgios, Dimitris & Samitas, Aristeidis, 2009. "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 197-221.

    More about this item

    Keywords

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

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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