The Impact Of Macroeconomic Indicators On The Movement Of Crobex

Tomić, Bojan (2015): The Impact Of Macroeconomic Indicators On The Movement Of Crobex. Published in: FIP - Journal of Finance and Law , Vol. 2, No. 1 (January 2015): pp. 45-60.

Abstract

Many research showed a high degree of correlation between the US and European capital markets, partly due to industrial‒financial linkages of the United States and Europe, and partly due to the influence of psychological factors on the behavior of individuals, and the concept of behavioral finance. However, it can be assumed that the movement of the value of an observed index does not depend solely on the change of values of the S & P 500 index. Accordingly and in line with rational economic theory, this paper examines the link between changes in the value of selected macroeconomic indicators and the value of the main share Croatian capital market index CROBEX. The results indicate that of the nine initially observed variables, movement of CROBEX can be described and further explained by changes in the value of average wages, parity rate and dollar, the kuna and the euro and the kuna and the Swiss franc.

• Item Type: MPRA Paper
• Language: English
• Keywords: CROBEX; value trends; macroeconomic indicator; linear regression; logistic regression
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

References

Barbić, T. and Čondić-Jurkić, I., (2011). Relationship between Macroeconomic Fundamentals and Stock Market Indicesin Selected CEE Countries. Ekonomski pregled. 62 (3-4), pp. 113-133.

Benazić, M., (2008). Povezanost cijene dionica i deviznog tečaja u Republici Hrvatskoj: VEC model. Ekonomski pregled, 59 (11), pp. 669-687.

Cheung, Y. W. andNg, L. K., (1998). International evidence on the stock market and aggregate economic activity.Journal of Empirical Finance, (5), pp. 281-296.

Fama, E. and French, K., (1989). Business Conditionsand Expected Returns on Stocksand Bonds. Journalof Financial Economics, 25 (1), pp. 23-49.

Fama, E. F., (1981). Stockreturns, realactivity, inflation and money. American Economic Review, 71 (4), pp. 545-565.

Ferson, W. E. and Harvey, C. R., (1991). The variation of economic risk premia. Journal of Political Economy, 99 (2), pp. 385-415.

Humpe, A. and Macmillan, P., (2009). Canmacroeconomicvariablesexplainlongtermstockmarketmovements? A comparisonofthe US and Japan. Applied Financial Economics,19 (2), pp. 111-119.

Jakšić, S., (2008). Utjecaj monetarnog agregata M4 i kamatnih stopa na CROBEX. Zbornik Ekonomskog fakulteta u Zagrebu, 6 (1), pp. 131-139.

Masuduzzaman, M., (2012). Impact of the Macroeconomic Variables on the Stock-Market Returns: The Case of Germany and the United Kingdom. Global Journalof Management and Business Research, 12 (16), pp. 22-34.

Morelli, D., (2002). The Relationship between Conditional Stock Market Volatility and Conditional Macroeconomic Volatility Empirical Evidence Basedon UK Data. International Reviewof Financial Analysis,volume, 11 (1), pp. 101‒110.

Nasseh, A. and Strauss, J., (2000). Stock Prices and Domestic and International Macroeconomic Activity: A Cointegration Approach. The Quarterly Review of Economics and Finance, 40 (2),pp. 229-245.

Ramasamy, B. and Yeung, M.C.H., (2005). The Causality between Stock Returns and Exchange Rates : Revisited. Australian Economic Papers, 44 (2), pp. 162‒169.

Singh, D., (2010). Causal Relationship Between Macro-Economic Variables and- Stock Market: A Case Study for India. Pakistan Journal of Social Sciences, 30(2), pp. 263-274.

Tomić, B., Sesar, A. and Džaja, T., (2014). Comparative analysis of european capitalmarket and Dow Jones Industrial Average Index. Računovodstvo i menadžment – RiM: 15. International Scientific and Professional Conference. Zbornik radova, svezak I. – scientificpapers. Jurić, Đ. (ur.). Rovinj Hrvatska. 05‒07.06.2014. Zagreb: udruga „Hrvatski računovođa“. pp. 265‒283.