IDEAS home Printed from
   My bibliography  Save this paper

Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market


  • Dubravka Benaković

    () (Ministry of Finance of the Republic of Croatia)

  • Petra Posedel

    () (Faculty of Economics and Business, University of Zagreb)


Factor models observe the sensitivity of an asset return as a function of one or more factors. This paper analyzes returns on fourteen stocks of the Croatian capital market in the period from January 2004 to October 2009 using inflation, industrial production, interest rates, market index and oil prices as factors. Both the direction and strength of the relation between the change in factors and returns are investigated. The analyses included fourteen stocks and their sensitivities to factors were estimated. The results show that the market index has the largest statistical significance for all stocks and a positive relation to returns. Interest rates, oil prices and industrial production also marked a positive relation to returns, while inflation had a negative influence. Furthermore, cross-sectional regression with the estimated sensitivities used as independent variables and returns in each month as dependent variables is performed. This analysis resulted in time series of risk premiums for each factor. The most important factor affecting stock prices proved to be the market index, which had a positive risk premium. A statistically significant factor in 2004 and 2008 was also inflation, marking a negative risk premium in 2004 and a positive one in 2008. The remaining three factors have not shown as significant.

Suggested Citation

  • Dubravka Benaković & Petra Posedel, 2010. "Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market," EFZG Working Papers Series 1012, Faculty of Economics and Business, University of Zagreb.
  • Handle: RePEc:zag:wpaper:1012

    Download full text from publisher

    File URL:
    File Function: First version, 2010
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    1. Frankel, Jeffrey & Poonawala, Jumana, 2010. "The forward market in emerging currencies: Less biased than in major currencies," Journal of International Money and Finance, Elsevier, vol. 29(3), pages 585-598, April.
    2. Junsoo Lee & Mark C. Strazicich, 2013. "Minimum LM unit root test with one structural break," Economics Bulletin, AccessEcon, vol. 33(4), pages 2483-2492.
    3. Arghyrou, Michael G. & Gregoriou, Andros & Kontonikas, Alexandros, 2009. "Do real interest rates converge? Evidence from the European union," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 447-460, July.
    Full references (including those not matched with items on IDEAS)


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

    Cited by:

    1. Sirucek, Martin, 2013. "Impact of money supply on stock bubbles," MPRA Paper 51476, University Library of Munich, Germany.
    2. Naveen R.S. & N. Sivakumar, 2016. "Impact of Macro-Economic Factors on Sectoral Indices – Evidence from Indian Markets," Journal of Applied Management and Investments, Department of Business Administration and Corporate Security, International Humanitarian University, vol. 5(3), pages 174-182, August.
    3. Bucevska Vesna, 2013. "An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange," Business Systems Research, De Gruyter Open, vol. 4(1), pages 49-64, March.
    4. Sirucek, Martin, 2013. "Vliv peněžní nabídky na akciové bubliny v Japonsku
      [The impact of money supply on japanesee stock bubbles]
      ," MPRA Paper 62817, University Library of Munich, Germany, revised 2013.
    5. Muinde Patrick Mumo, 2017. "Effects of Macroeconomic Volatility on Stock Prices in Kenya: A Cointegration Evidence from the Nairobi Securities Exchange (NSE)," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(2), pages 1-14, February.
    6. Širůček, Martin, 2015. "Kauzalní vztah peněžní nabídky a amerického akciového trhu
      [Money supply and US stock market causality]
      ," MPRA Paper 66357, University Library of Munich, Germany, revised 30 Aug 2015.

    More about this item


    factor models; risk premium; stock returns; estimated sensitivities; regression analysis;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    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:zag:wpaper:1012. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (WPS). General contact details of provider: .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.