Informace o publikaci

Stock market informational efficiency in Germany: Granger causality between DAX and selected macroeconomic indicators

Autoři

PLÍHAL Tomáš

Rok publikování 2016
Druh Článek v odborném periodiku
Časopis / Zdroj Procedia - Social and Behavioral Sciences
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
Doi http://dx.doi.org/10.1016/j.sbspro.2016.05.505
Obor Ekonomie
Klíčová slova Germany; macroeconomic indicators ;stock market ;Granger causality; cointegration.
Popis This study analyzes relationship between macroeconomic indicators and stock market in Germany. Aim of this paper is to answer the question how stock market reflects economic conditions and if stock market is informational efficient. Toda-Yamamoto (1995) approach is used for testing Granger causality. Bivariate analysis is performed on monthly data from January 1999 to September 2015, and six macroeconomic indicators are examined: industrial production, inflation, money supply, interest rate, trade balance and exchange rate. Analysis applies unit root tests, testing for cointegration using the Johansen methodology and Wald test for linear restriction to check Granger causality.
Související projekty:

Používáte starou verzi internetového prohlížeče. Doporučujeme aktualizovat Váš prohlížeč na nejnovější verzi.

Další info