Output and Expected Returns in Central and Eastern European Countries

• Autorzy: Jerzy Gajdka , Piotr Pietraszewski
• Języki publikacji: EN

Abstrakty

EN

Theoretical background: Although some controversy remains, some aspects of the predictability of aggregate stock market returns in the United States and other industrialized countries appear to be relatively well established. Intertemporal asset pricing models based on the paradigm of investor rationality and market efficiency imply that various macro variables describing the state of the economy may forecast future returns on the aggregate stock market.
Purpose of the article: The aim of the article is to present the results of a preliminary study which set out to determine whether the ratio of the stock index to the aggregate output in the economy and future rates of return in the aggregate stock markets in Central and Eastern Europe are significantly related to each other over different time horizons.
Research methods: Heteroskedasticity and autocorrelation-consistent estimators with a small sample degrees of freedom adjustment were used in regressions to track overlapping data problem and small sample bias.
Main findings: The analysis of the key market indices has shown that they explain much of the variation in the long-horizon future cumulative returns, as well as in cumulative excess returns.(original abstract)

Słowa kluczowe

EN

Stock rate of returns; Gross domestic product (GDP); Industrial production; Equity market

PL

Stopa zwrotu akcji; Produkt krajowy brutto (PKB); Produkcja przemysłowa; Rynek akcji

• Czasopismo: Annales Universitatis Mariae Curie-Skłodowska. Sectio H. Oeconomia
• Rocznik: 2020
• Tom: 54
• Numer: nr 4
• Strony: 41--54

Twórcy

autor

Jerzy Gajdka

• University of Lodz, Poland

autor

Piotr Pietraszewski

• University of Lodz, Poland

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Identyfikatory

DOI

10.17951/h.2020.54.4.41-54