Granger Causality between Stock Market and Macroeconomic Indicators: Evidence from Germany
The aim of this paper is to investigate informational efficiency of the stock market in Germany. Granger causality between the stock market and the selected macroeconomic variables is investigated by bivariate analysis using Toda-Yamamoto (1995) approach. This study focuses on monthly data from Janu...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Mendel University Press
2016-01-01
|
| Series: | Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis |
| Subjects: | |
| Online Access: | https://acta.mendelu.cz/64/6/2101/ |
| _version_ | 1818113009839505408 |
|---|---|
| author | Tomáš Plíhal |
| author_facet | Tomáš Plíhal |
| author_sort | Tomáš Plíhal |
| collection | DOAJ |
| description | The aim of this paper is to investigate informational efficiency of the stock market in Germany. Granger causality between the stock market and the selected macroeconomic variables is investigated by bivariate analysis using Toda-Yamamoto (1995) approach. This study focuses on monthly data from January 1999 to September 2015, and the stock market is represented by blue chip stock market index DAX. Investigated macroeconomic indicators include industrial production, inflation, money supply, interest rate, trade balance and exchange rate. Stock market Granger-causes industrial production and interest rate, and is therefore leading indicator of these variables. Between money supply and stock prices is Granger causality in both directions. Other variables seem to be independent on development of the stock market. We do not find any violation of Efficient market hypothesis which indicates that the stock market in Germany is informational efficient. |
| first_indexed | 2024-12-11T03:28:01Z |
| format | Article |
| id | doaj.art-a60256fe706541098634453b88573478 |
| institution | Directory Open Access Journal |
| issn | 1211-8516 2464-8310 |
| language | English |
| last_indexed | 2024-12-11T03:28:01Z |
| publishDate | 2016-01-01 |
| publisher | Mendel University Press |
| record_format | Article |
| series | Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis |
| spelling | doaj.art-a60256fe706541098634453b885734782022-12-22T01:22:28ZengMendel University PressActa Universitatis Agriculturae et Silviculturae Mendelianae Brunensis1211-85162464-83102016-01-016462101210810.11118/actaun201664062101Granger Causality between Stock Market and Macroeconomic Indicators: Evidence from GermanyTomáš Plíhal0Department of Finance, Faculty of Economics and Administration, Masaryk University, Žerotínovo nám. 617/9, 601 77 Brno, Czech RepublicThe aim of this paper is to investigate informational efficiency of the stock market in Germany. Granger causality between the stock market and the selected macroeconomic variables is investigated by bivariate analysis using Toda-Yamamoto (1995) approach. This study focuses on monthly data from January 1999 to September 2015, and the stock market is represented by blue chip stock market index DAX. Investigated macroeconomic indicators include industrial production, inflation, money supply, interest rate, trade balance and exchange rate. Stock market Granger-causes industrial production and interest rate, and is therefore leading indicator of these variables. Between money supply and stock prices is Granger causality in both directions. Other variables seem to be independent on development of the stock market. We do not find any violation of Efficient market hypothesis which indicates that the stock market in Germany is informational efficient.https://acta.mendelu.cz/64/6/2101/Granger causalityEfficient market hypothesisDAXstock marketmacroeconomic indicatorsGermany |
| spellingShingle | Tomáš Plíhal Granger Causality between Stock Market and Macroeconomic Indicators: Evidence from Germany Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis Granger causality Efficient market hypothesis DAX stock market macroeconomic indicators Germany |
| title | Granger Causality between Stock Market and Macroeconomic Indicators: Evidence from Germany |
| title_full | Granger Causality between Stock Market and Macroeconomic Indicators: Evidence from Germany |
| title_fullStr | Granger Causality between Stock Market and Macroeconomic Indicators: Evidence from Germany |
| title_full_unstemmed | Granger Causality between Stock Market and Macroeconomic Indicators: Evidence from Germany |
| title_short | Granger Causality between Stock Market and Macroeconomic Indicators: Evidence from Germany |
| title_sort | granger causality between stock market and macroeconomic indicators evidence from germany |
| topic | Granger causality Efficient market hypothesis DAX stock market macroeconomic indicators Germany |
| url | https://acta.mendelu.cz/64/6/2101/ |
| work_keys_str_mv | AT tomasplihal grangercausalitybetweenstockmarketandmacroeconomicindicatorsevidencefromgermany |