The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies

Marie Ligocká, Tomáš Pražák and Daniel Stavarek
Additional contact information
Marie Ligocká: Department of Finance and Accounting, School of Business Administration, Silesian University, Univerzitní nám. 1934/3, 733 40 Karviná, Czech Republic
Tomáš Pražák: Department of Finance and Accounting, School of Business Administration, Silesian University, Univerzitní nám. 1934/3, 733 40 Karviná, Czech Republic

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2016, vol. 64, issue 6, 2015-2024

Abstract: Stock values of companies listed on stock exchanges could be influenced by many factors. The aim of this article is to examine existence and character of relationship between stock prices of selected Swiss real estate companies and macroeconomic fundamentals (GDP, interest rate, price level). The existence of long-run equilibrium relationship between stock prices and macroeconomic fundamentals is tested with the Johansen cointegration. The short run dynamics between the variables is examined by Vector Error Correction modelling and the Granger causality test. During the period 2005-2014 we revealed a long-run equilibrium for five of the six analyzed stocks. We also confirmed that macroeconomic variables and the interest rate in particular, can explain a long-run behavior of stock prices. By contrast, macroeconomic variables are usually short in explanation of short-run dynamics of stock prices. However, the results differ substantially among the stocks and, hence, they prevent us from drawing any general conclusion for the entire real estate sector in Switzerland.

Keywords: Stock market; real estate sector; macroeconomic variables; cointegration; Granger causality (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://acta.mendelu.cz/doi/10.11118/actaun201664062015.html (text/html)
http://acta.mendelu.cz/doi/10.11118/actaun201664062015.pdf (application/pdf)
free of charge

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mup:actaun:actaun_2016064062015

DOI: 10.11118/actaun201664062015

Access Statistics for this article

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis is currently edited by Markéta Havlásková

More articles in Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis from Mendel University Press
Bibliographic data for series maintained by Ivo Andrle ().