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2013 | nr 11 | 72--89
Tytuł artykułu

Interakcje między wskaźnikami makroekonomicznymi a indeksami giełdowymi w wybranych krajach

Warianty tytułu
Interactions between macro-economic indicators and stock market indices in selected countries
Języki publikacji
PL
Abstrakty
Celem artykułu jest empiryczna weryfikacja oddziaływania wielkości makroekonomicznych na indeks giełdowy przy wykorzystaniu dwóch technik ekonometrycznych - metodologii VAR będącej swego rodzaju standardem dla tej klasy badań i regresji na danych panelowych. Tego drugiego podejścia w kontekście takich badań autor w dostępnej literaturze nie spotkał. (fragment tekstu)
EN
The paper presents an empirical verification of selected macroeconomic va-riables interacting with stock index. Estimations were made using two econometric techniques. On the one hand the VAR methodology was used here, standard for this class of research, on the other hand a novel approach was used with panel data regression. The study was conducted in seven selected capital markets, which are at different stages of development. Due to the fact this gave an interesting range of results i.a. different signs of coefficients obtained for inflation, the exchange rate, depending on the range of markets for which estimates were made. (original abstract)
Rocznik
Numer
Strony
72--89
Opis fizyczny
Twórcy
  • Credit Agricole Bank Polska S.A.
Bibliografia
  • Al-Sharkas A. (2004), The dynamie relationship between macroeconomic factors and the Jorda-nian Stock Market, "International Journal of Applied Econometrics and Quantitative Studies", Vol. 1, No. 1
  • Baltagi B. H. (2005), Econometric analysis of panel data, John Wiley & Sons
  • Bilson C., Brailsford T., Hooper V. (1999), Selecting macroeconomic variables as explanatory factors of emerging stock market returns, SSRN
  • Buyuksalvarci A. (2010), Effect of macroeconomic variables on stock returns: evidence from Turkey, "European Journal of Social Sciences", Vol. 14, No. 3
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  • Choudhry T. (2001), Inflation and rates of return on stocks: evidence from high inflation countries, "Journal of International Financial Markets", No. 11
  • Dadgostar B., Moazzami B. (2003), Dynamic relationship between macroeconomic variables and the Canadian Stock Market, "Journal of Applied Business and Economics", Vol. 2, No. 1
  • Dębski W. (2003), Rynek finansowy i jego mechanizmy, PWN
  • Elly O. D., Oriwo A. E. (2012), The relationship between macroeconomic variables and stock market performance in Kenya, "DBA Africa Management Review", Vol. 3, No. 1
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  • Geske K. R., Roll R. (1983), The fiscal and monetary linkage between stock returns and inflation, "Journal of Finance", Vol. 38, No. 1
  • Hasanzadeh A., Kianvand M. (2012), The impact of macroeconomic variables on stockprices: the case of Tehran Stock Exchange, "Money and Economy", Vol. 6, No. 2
  • Hsing Y. (2011), Macroeconomic determinants of the stock market index and policy implications: the case of a Central European country, "Eurasian Journal of Business and Economics", Vol. 7, No. 4
  • Jajuga K. (2007), Podstawy inwestowania na rynku papierów wartościowych, GPW
  • Kusideł E. (2000), Modele wektorowo-autoregresyjne VAR, metodologia i zastosowanie, P. S. Absolwent
  • Łuniewska M. (2008), Ekonometria finansowa, PWN
  • Mohammad D. S., Hussain A., Ali A. (2009), Impact of macroeconomics variables on stock prices: empirical evidence in case of KSE (Karachi Stock Exchange), "European Journal of Scien-tific Research", Vol. 38, No. 1
  • Mukherjee T. K., Naka A. (1995), Dynamic relations between macroeconomic variables and Japanese Stock Market, "The Journal of Financial Research", Vol. 18, No. 2
  • Naik P. K., Padhi P. (2012), The impact of macroeconomic fundamentals on stock prices revisited: evidence from Indian, "Data Eurasian Journal of Business and Economics", Vol. 5, No. 10
  • Nelson C. (1976), Inflation and rates of return on common stocks, "The Journal of Finance", Vol. 31, No. 2
  • Tangjitprom N. (2011), Macroeconomic factors of emerging stock market: the evidence from Thailand, "International Journal of Financial Research", Vol. 3, No. 2, SSRN
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171251545

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