Central Eastern and South Eastern European Markets Macro-Fundamental Analysis

Oliver Polyak () and Jitka Postulkova
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Oliver Polyak: Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nabrezi 6, 111 01 Prague 1, Czech Republic
Jitka Postulkova: Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Smetanovo nabrezi 6, 111 01 Prague 1, Czech Republic

No 2017/17, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: A type of fundamental analysis focusing on broad economic factors that affect the stock market as a whole or industry groups of securities, also known as the macro-fundamental analysis, is the practice of evaluating the overall performance of the economy, its impact on industry groups and finally down to specific companies in the industry groups. As such, macro-fundamental analysis is broadly accepted as a critical tool to analyze and potentially predict the stock price development There has been a lot written about the cointegration and causality links between the macroeconomic factors and stock indices of the Western European markets. On the contrary, not so much has been researched about these links when it comes to the European emerging markets. The aim of this paper is thus to examine such relationships in case of selected Central and South-Eastern European countries, collecting the latest data and using a broader sample of macroeconomic indicators. Our findings reveal several pairwise short-run causal impacts between studied macroeconomic indicators and stock indices. Moreover, according to our results, all CEE&SEE stock markets under consideration may potentially be in violation of market efficiency.

Pages: 39 pages
Date: 2017-08, Revised 2017-08
New Economics Papers: this item is included in nep-tra
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