Gurgul, Henryk and Lach, Łukasz (2010): The causal link between Polish stock market and key macroeconomic aggregates. Published in: Betriebswirtschaftliche Forschung und Praxis , Vol. 4, (2010): pp. 367383.

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Abstract
This paper with the application of linear, nonlinear and long–run Granger causality tests, examines the causal links between the main Polish market price index (WIG) of the Warsaw Stock Exchange and four macroeconomic aggregates, namely the value of sold industrial production, the unemployment rate, the interest rate and the rate of inflation using monthly data for the period from January 1998 to June 2008. We found a bidirectional linear causal relationship between the stock market index and sold industrial production and strong evidence of linear and nonlinear Granger causality from changes in the interest rate to fluctuations in the stock market index. Furthermore, all examined macroeconomic variables were found to have a longrun causal influence on the performance of the stock market.
Item Type:  MPRA Paper 

Original Title:  The causal link between Polish stock market and key macroeconomic aggregates 
Language:  English 
Keywords:  stock market, macroeconomic aggregates, cointegration, linear and nonlinear causality, market efficienc 
Subjects:  C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models G  Financial Economics > G1  General Financial Markets > G14  Information and Market Efficiency ; Event Studies ; Insider Trading 
Item ID:  52250 
Depositing User:  Dr Łukasz Lach 
Date Deposited:  17. Dec 2013 06:37 
Last Modified:  17. Dec 2013 07:09 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/52250 