 Growth-returns nexus: Evidence from three Central and Eastern European countriesEconomic Modelling, 2014, vol. 42, issue C, 343-355 Abstract: Using a sample of monthly data from January 1996 to December 2012, we provide new evidence on the unidirectional Granger causality from real stock market returns to real economic activity in three Central and Eastern European countries: the Czech Republic, Hungary, and Poland. By employing the Granger causality tests of Cheung and Ng (1996) and Hong (2001), we show evidence of short-term (up to 6months), medium-term (up to 12months) and long-term (up to 24months) causality for the Czech Republic and Hungary. In the case of Poland, only medium-term and long-term causality is found. Using rolling-correlation analysis, we find that although the growth–returns relationship is positive during the examined period, there is an apparent variability in the strength of this relationship that is particularly visible during the period of the financial crisis in the late 2000s. Consequently, we find that the predictive power of stock markets in the CEE-3 countries increases during periods of high market volatility and decreases during periods of economic recovery. Keywords: Real economic activity; Output growth; Market volatility; Emerging markets (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:42:y:2014:i:c:p:343-355 DOI: 10.1016/j.econmod.2014.07.023 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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