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Macroeconomic factors’ influence on “new” European countries stock returns: the case of four transition economies

Aristeidis Samitas and Dimitris Kenourgios ()
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Aristeidis Samitas: University of Aegean

Finance from University Library of Munich, Germany

Abstract: This paper investigates whether current and future domestic and international macroeconomic variables can explain long and short run stock returns in four “new” European countries (Poland, Czech Republic, Slovakia and Hungary). “Old” western European countries (U.K., France, Italy and Germany) are included in the empirical analysis, whilst USA is considered as a “foreign global influence”. Using the present value model of stock prices and a complete range of cointegration and causality tests, it is found that “new” European stock markets are not perfectly integrated with foreign financial markets, while domestic economic activity and the German factor are more influential on these stock markets than the American global factor.

Keywords: Stock returns; macroeconomic factors; present value model; Central-Eastern (“New”) stock markets; “Old” European stock markets; USA. (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-fin, nep-fmk, nep-mac and nep-tra
Date: 2005-12-20
Note: Type of Document - pdf; pages: 25
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Journal Article: Macroeconomic factors' influence on 'new' European countries' stock returns: the case of four transition economies (2007) Downloads
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