ANALIZA CZYNNIKÓW MAKROEKONOMICZNYCH ZMIAN CEN AKCJI BANKÓW W EUROPIE
ANALYSIS OF FACTORS MACROECONOMIC CHANGES IN STOCK PRICES OF BANKS IN EUROPE
Author(s): Patrycja Chodnicka-Jaworska, Katarzyna NiewińskaSubject(s): Economy, Supranational / Global Economy, EU-Accession / EU-DEvelopment, Financial Markets
Published by: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
Keywords: banking sector; rate of return; stocks;
Summary/Abstract: The paper attempts to identify the determinants of macroeconomic banking stock return in Europe. The study assumed 182 banks listed on stock exchanges in 24 countries in Europe. As an independent variable was adopted quarterly logarithmic stock returns in 2004–15. Due to the nature of the data used in the static panel models, allowing to analyse the impact of change: GDP, inflation (CPI), industrial production and interest rates (short- and long-term) of the country and implied volatility index EURO STOXX 50 and a beta value of the bank stock. The analysis showed a significant effect of these variables. R squard of the model is 12%, which suggests that macroeconomic variables are key factors that may affect the stock market.
Journal: Studia i Prace WNEIZ US
- Issue Year: 2016
- Issue No: 46/1
- Page Range: 247-258
- Page Count: 12
- Language: Polish