Is There a Relationship between Macroeconomic Variables and Stock Market Indices in Bosnia and Herzegovina?

Abdić Adem (), Abdić Ademir (), Lazović-Pita Lejla () and Kanlić Fahir ()
Additional contact information
Abdić Adem: Department of Finance, School of Economics and Business, University of Sarajevo, Sarajevo, Bosnia and Herzegovina
Abdić Ademir: Department of Quantitative Economics, School of Economics and Business, University of Sarajevo, Sarajevo, Bosnia and Herzegovina
Lazović-Pita Lejla: Department of Finance, School of Economics and Business, University of Sarajevo, Sarajevo, Bosnia and Herzegovina
Kanlić Fahir: Agency for Statistics of Bosnia and Herzegovina, Sarajevo, Bosnia and Herzegovina

Naše gospodarstvo/Our economy, 2024, vol. 70, issue 3, 48-70

Abstract: The economic growth and development of a country are reflected in many aspects, one of them being the stock market indices. The purpose of the article is to examine and determine the relationship between selected macroeconomic variables and stock market indices in Bosnia and Herzegovina (BiH). Using quarterly data over the 2010q1-2019q4 period, a cointegration analysis was applied to model this relationship. The Vector Error Correction Model (VECM) was used to explore the short-run relationship as well as the long-run relationship. The article examined the predictive ability among variables of interest by applying the Granger causality test. The results indicate a stable long-run relationship between the analysed macroeconomic variables and stock market indices in BiH, while no short-run relationship was found. The results contribute to the scientific discussions about the relationship between selected macroeconomic variables and representative stock market indices in BiH which considers their direction and strength.

Keywords: Stock market indices; Macroeconomic variables; BiH; VECM model; Granger causality test (search for similar items in EconPapers)
JEL-codes: C32 E44 G10 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.2478/ngoe-2024-0016 (text/html)

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:vrs:ngooec:v:70:y:2024:i:3:p:48-70:n:1004

DOI: 10.2478/ngoe-2024-0016

Access Statistics for this article

Naše gospodarstvo/Our economy is currently edited by Vesna Čančer

More articles in Naše gospodarstvo/Our economy from Sciendo
Bibliographic data for series maintained by Peter Golla ().