Modeling relations between selected macroeconomic processes and the Warsaw Stock Exchange index

Piotr Fiszeder () and Sebastian Rowinski ()
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Piotr Fiszeder: Nicolaus Copernicus University
Sebastian Rowinski: Nicolaus Copernicus University

Ekonomia i Prawo, 2012, vol. 10, issue 3, 153-167

Abstract: The relations between a stock market and macroeconomic processes are objects of interest of this paper. The existence of the long-run dependence between the Warsaw Stock Exchange Index and selected macroeconomic processes was demonstrated. A positive influence on the WIG index in the cointegrating vector had the GDP and the first differences of the money supply, whereas a negative one the rate of inflation and the CRB commodities index. Significant short-term relations were also observed. A positive influence on the first differences of the WIG index had the lagged first differences of the CRB index and a negative one the lagged second differences of the money supply. The results of the research are typical for emerging markets. Furthermore they show that analyzed processes do not have a meaningful impact on the short-term fluctuations of stock prices quoted on the Warsaw Stock Exchange.

Keywords: Warsaw Stock Exchange Index; macroeconomic processes (search for similar items in EconPapers)
JEL-codes: A (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkeip:v:10:y:2012:i:3:p:153-167

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