Test przyczynowości w sensie Grangera między stopami zwrotu z akcji, zmianami koniunktury gospodarczej i wskaźnikami sentymentu ekonomicznego – badania na rynku polskim
Testing for Granger Causality Between Stock Return, Economic Fluctuations and Sentiment Indicators: Evidence from Poland
Author(s): Paweł SekułaSubject(s): Economy, Financial Markets
Published by: Wydawnictwo Naukowe Uniwersytetu Marii Curie-Sklodowskiej
Keywords: economic fluctuation; stock return; sentiment indicators; Granger causality
Summary/Abstract: Purpose of the article: This paper empirically investigates the interdependencies between stock return, economic fluctuations and sentiment indicators.Research methods: The research used a bivariate VAR model and Granger causality tests are performed. Quarterly data covering the period from September 2001 to December 2018 are used.Main findings: The empirical results indicated a one-way causality from economic fluctuations to sentiment indicators and from stock return to sentiment indicators. The tests did not confirm the causal relationship between economic fluctuations and stock return.
Journal: Annales Universitatis Mariae Curie-Skłodowska, Sectio H Oeconomia
- Issue Year: LIII/2019
- Issue No: 4
- Page Range: 129-139
- Page Count: 11
- Language: Polish