MODELING RELATIONS BETWEEN SELECTED MACROECONOMIC PROCESSES AND THE WARSAW STOCK EXCHANGE INDEX
MODELING RELATIONS BETWEEN SELECTED MACROECONOMIC PROCESSES AND THE WARSAW STOCK EXCHANGE INDEX
Author(s): Piotr Fiszeder, Sebastian RowińskiSubject(s): Economy, Financial Markets
Published by: Wydawnictwo Naukowe Uniwersytetu Mikołaja Kopernika
Keywords: Warsaw Stock Exchange Index; macroeconomic processes
Summary/Abstract: The relations between a stock market and macroeconomic processes are objects of interest of this paper. The existence of the long-run dependence between the Warsaw Stock Exchange Index and selected macroeconomic processes was demonstrated. A positive influence on the WIG index in the cointegrating vector had the GDP and the first differences of the money supply, whereas a negative one the rate of inflation and the CRB commodities index. Significant short-term relations were also observed. A positive influence on the first differences of the WIG index had the lagged first differences of the CRB index and a negative one the lagged second differences of the money supply. The results of the research are typical for emerging markets. Furthermore they show that analyzed processes do not have a meaningful impact on the short-term fluctuations of stock prices quoted on the Warsaw Stock Exchange.
Journal: Ekonomia i Prawo. Economics and Law
- Issue Year: 10/2012
- Issue No: 3
- Page Range: 153-167
- Page Count: 15
- Language: Polish