The causal link between Polish stock market and key macroeconomic aggregates

Henryk Gurgul and Łukasz Lach

MPRA Paper from University Library of Munich, Germany

Abstract: This paper with the application of linear, nonlinear and long–run Granger causality tests, examines the causal links between the main Polish market price index (WIG) of the Warsaw Stock Exchange and four macroeconomic aggregates, namely the value of sold industrial production, the unemployment rate, the interest rate and the rate of inflation using monthly data for the period from January 1998 to June 2008. We found a bidirectional linear causal relationship between the stock market index and sold industrial production and strong evidence of linear and nonlinear Granger causality from changes in the interest rate to fluctuations in the stock market index. Furthermore, all examined macroeconomic variables were found to have a long-run causal influence on the performance of the stock market.

Keywords: stock market; macroeconomic aggregates; cointegration; linear and nonlinear causality; market efficienc (search for similar items in EconPapers)
JEL-codes: C32 G14 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/52250/1/MPRA_paper_52250.pdf original version (application/pdf)

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:pra:mprapa:52250

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().