Causal Link Between the Polish Stock Market and Selected Macroeconomic Indicators
This article proposes a study of dynamics in the bi-directional relationship between macroeconomic factors and the stock market in Poland. In order to verify Granger’s causality and analyse the course of the impulse response function, a model of vector autoregression was used. The analysis is based...
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| Format: | Article |
| Language: | English |
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Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego
2019-07-01
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| Series: | Problemy Zarządzania |
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| Online Access: | https://pz.wz.uw.edu.pl/resources/html/article/details?id=190900 |
| Summary: | This article proposes a study of dynamics in the bi-directional relationship between macroeconomic factors and the stock market in Poland. In order to verify Granger’s causality and analyse the course of the impulse response function, a model of vector autoregression was used. The analysis is based on monthly data and covers the period from January 2004 to December 2018. The results of the investigation show that the stock exchange index is a significant guide for the industrial production index and the relation is positive. At the same time, interest rates are not one of the most important variables that affect stock prices. |
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| ISSN: | 1644-9584 |