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Scientific paper - Original scientific paper
RELATIONSHIP BETWEEN MACROECONOMIC FUNDAMENTALS AND STOCK MARKET INDICES IN SELECTED CEE COUNTRIES
Ekonomski pregled, 62 (2011), 3-4; 113-133. urn:nbn:hr:213:546869
Barbić, Tajana; Čondić-Jurkić, Iva

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Barbić, T. & Čondić Jurkić, I. (2011). RELATIONSHIP BETWEEN MACROECONOMIC FUNDAMENTALS AND STOCK MARKET INDICES IN SELECTED CEE COUNTRIES. Ekonomski pregled, 62. (3-4), 113-133. Retrieved from https://urn.nsk.hr/urn:nbn:hr:213:546869

Barbić, Tajana and Iva Čondić Jurkić. "RELATIONSHIP BETWEEN MACROECONOMIC FUNDAMENTALS AND STOCK MARKET INDICES IN SELECTED CEE COUNTRIES." Ekonomski pregled, vol. 62, no. 3-4, 2011, pp. 113-133. https://urn.nsk.hr/urn:nbn:hr:213:546869

Barbić, Tajana and Iva Čondić Jurkić. "RELATIONSHIP BETWEEN MACROECONOMIC FUNDAMENTALS AND STOCK MARKET INDICES IN SELECTED CEE COUNTRIES." Ekonomski pregled 62, no. 3-4 (2011): 113-133. https://urn.nsk.hr/urn:nbn:hr:213:546869

Barbić, T. and Čondić Jurkić, I. (2011) 'RELATIONSHIP BETWEEN MACROECONOMIC FUNDAMENTALS AND STOCK MARKET INDICES IN SELECTED CEE COUNTRIES', Ekonomski pregled, 62(3-4), pp. 113-133. Available at: https://urn.nsk.hr/urn:nbn:hr:213:546869 (Accessed 10 December 2024)

Barbić T, Čondić Jurkić I. RELATIONSHIP BETWEEN MACROECONOMIC FUNDAMENTALS AND STOCK MARKET INDICES IN SELECTED CEE COUNTRIES. Ekonomski pregled [Internet]. 2011 April 20 [cited 2024 December 10];62(3-4):113-133. Available at: https://urn.nsk.hr/urn:nbn:hr:213:546869

T. Barbić and I. Čondić Jurkić, "RELATIONSHIP BETWEEN MACROECONOMIC FUNDAMENTALS AND STOCK MARKET INDICES IN SELECTED CEE COUNTRIES", Ekonomski pregled, vol. 62, no. 3-4, pp. 113-133, April 2011. [Online]. Available at: https://urn.nsk.hr/urn:nbn:hr:213:546869. [Accessed: 10 December 2024]

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Metadata
Title (english)RELATIONSHIP BETWEEN MACROECONOMIC FUNDAMENTALS AND STOCK MARKET INDICES IN SELECTED CEE COUNTRIES
Title (croatian)POVEZANOST IZMEĐU MAKROEKONOMSKIH VARIJABLI I BURZOVNIH INDEKSA U ODABRANIM ZEMLJAMA SREDNJE I ISTOČNE EUROPE
AuthorTajana Barbić
MBZ: 264110
AuthorIva Čondić-Jurkić
MBZ: 264121
Author's institutionThe Institute of Economics, Zagreb
Scientific / art field,
discipline and subdiscipline		SOCIAL SCIENCES
Economics
Abstract (english)
The aim of this paper is to test for the presence of informational inefficiencies on stock markets of selected CEE countries (Croatia, Czech Republic, Hungary, Poland and Slovenia) analyzing the relationship between stock market indices and macroeconomic variables. In order to test for bilateral long run equilibrium relationships between stock market index and set of macroeconomic variables, including inflation rate, broad money supply, money market interest rate and foreign currency reserves, we use Johansen cointegration method. To gain more information about market efficiency Granger causality test is employed. Results point to established long run relationship between stock market indices and macroeconomic variables, especially in case of Poland and Czech Republic. The results of Granger (non) causality reveal that (a) there is no causal linkage between any macroeconomic variable and stock market index in Croatia, Hungary and Poland; (b) money supply and foreign exchange lead stock index in Czech Republic, while inflation rate and money market interest rate lead Slovene stock index (c) none of stock market indices might be used as a leading indicator of inflation rate (d) stock market index leads money market interest rate in Hungary and Czech Republic, foreign exchange reserves in Slovenia and money supply in Poland.
Abstract (croatian)
U ovom se radu testira postojanje informacijske (ne)efikasnosti na tržištima kapitala odabranih zemalja Srednje i Istočne Europe. Na primjerima hrvatskog, češkog, mađarskog, poljskog i slovenskog tržišta kapitala, analizira se veza između burzovnih indeksa i makroekonomskih varijabli koje uključuju inflaciju, novčanu ponudu, kamatnu stopu na tržištu novca i devizne pričuve. Postojanje dugoročne bilateralne ravnotežne veze između burzovnog indeksa, s jedne strane, i makroekonomskih varijabli s druge strane, ispitano je korištenjem Johansenove kointegracijske metode. Za dobivanje detaljnijih informacija o tržišnoj efikasnosti korišten je Grangerov test uzročnosti. Rezultati kointegracijske analize upućuju na postojanje dugoročnih veza između burzovnih indeksa i makroekonomskih varijabli u slučaju Poljske i Češke. Rezultati Grangerovog testa uzročnosti pokazuju da (a) ne postoji uzročna veza između nijedne makroekonomske varijable i burzovnog indeksa u Hrvatskoj, Mađarskoj i Poljskoj, (b) novčana ponuda i devizne pričuve vode burzovni indeks u Češkoj, a inflacija i kamatna stopa na tržištu novca u Sloveniji, (c) burzovni indeks ne navješta inflaciju na nijednom promatranom tržištu, (d) burzovni indeks vodi kamatnu stopu na novčanom tržištu u Mađarskoj i Češkoj, devizne pričuve u Sloveniji, i novčanu ponudu u Poljskoj.
Keywords (english)
Keywords (croatian)
Languageenglish
Publication typeScientific paper - Original scientific paper
Publication statusPublished
Peer reviewPeer review
Publication versionPublished version
Journal titleEkonomski pregled
Numberingvol. 62, no. 3-4, pp. 113-133
p-ISSN0424-7558
e-ISSN1848-9494
URN:NBNurn:nbn:hr:213:546869
Publication2011-04-20
Document URLhttp://hrcak.srce.hr/67210
Type of resourceText
Access conditionsOpen access
Terms of useLicence In copyright icon
Created on2017-11-07 10:15:59