Διερεύνηση της σχέσης αιτιότητας μεταξύ βασικών μακροοικονομικών δεικτών και του γενικού χρηματιστηριακού δείκτη σε αναπτυγμένες αλλά και αναπτυσσόμενες χώρες
Determining causal relations between crucial macroeconomic indices and general stock index in developed and developing countries
Πανταζή, Δέσποινα Α.
KeywordsΑιτιότητα κατά Granger ; Αυτοπαλίνδρομα υποδείγματα ; VAR ανάλυση ; Υπόδειγμα κατανεμημένων χρονικών υστερήσεων ; Χρηματιστηριακοί δείκτες ; Μακροοικονομικοί δείκτες ; Συναρτήσεις αιφνίδιων αντιδράσεων ; Impulse Response Functions ; Autoregressive distributed lag model
This work focuses on finding causality in the relationship between the general stock index and the macroeconomic environment in the short and long term, focusing on the total consumption, the unemployment and the inflation. The study was conducted in both developed and developing countries, all members of G20, as well as in the national economy. More specifically, there were used quarterly observations, in a time period up to the third quarter of 2014, for the closing prices’ stock indices, the total consumption, the unemployment rate and the consumer price index (CPI), as far as Japan, Argentina, Brazil, Russia, Germany, Australia, Turkey, France and Greece are concerned. The above data were adjusted in the vector autoregressive model (VAR analysis) in order to implement the useful tools for the examination of causal relations methods, such as the Granger causality and the Impulse Response Functions. In the bivariate cases that the assumptions of VAR analysis are not satisfied, there was used the cointegration method of Autoregressive Distributed Lag Model. The outcomes show that the majority of the causal relations are not only in fact short-term causal ones but also depend, indeed, on the economy of each country. Additionally, in the most causal relations found, the stock market influences on the macroeconomic one, with basic exception the inflation, that reacts in the stock returns.