메뉴 건너뛰기




Volumn 20, Issue 4, 2014, Pages 783-800

Econometric models of the impact of macroeconomic processes on the stock market in the Baltic countries

Author keywords

Econometric modelling; Forecast; Macroeconomic indicators; OMX baltic security market; Regression; Sectoral indices of stock prices

Indexed keywords


EID: 84957054526     PISSN: 20294913     EISSN: 20294921     Source Type: Journal    
DOI: 10.3846/20294913.2014.949901     Document Type: Review
Times cited : (9)

References (50)
  • 1
    • 84870246496 scopus 로고    scopus 로고
    • Money supply, interest rate, liquidity and share prices: A test of their linkage
    • Ariff, M.; Chung, T.; Shamsher, M. 2012. Money supply, interest rate, liquidity and share prices: a test of their linkage, Global Finance Journal 23(3): 202-220. http://dx.doi.org/10.1016/j.gfj.2012.10.005.
    • (2012) Global Finance Journal , vol.23 , Issue.3 , pp. 202-220
    • Ariff, M.1    Chung, T.2    Shamsher, M.3
  • 2
    • 0011017078 scopus 로고    scopus 로고
    • Selecting macroeconomic variables as explanatory factors of emerging stock market returns
    • Bilson, C. M.; Brailsford, T. J.; Hooper, V. J. 2001. Selecting macroeconomic variables as explanatory factors of emerging stock market returns, Pacific-Basin Finance Journal 9(4): 401-426. http://dx.doi.org/10.1016/S0927-538X(01)00020-8.
    • (2001) Pacific-Basin Finance Journal , vol.9 , Issue.4 , pp. 401-426
    • Bilson, C.M.1    Brailsford, T.J.2    Hooper, V.J.3
  • 3
    • 77955031566 scopus 로고    scopus 로고
    • The effects of macroeconomics variables on stock returns: Evidence from Turkey
    • Buyuksalvarci, A. 2010. The effects of macroeconomics variables on stock returns: evidence from Turkey, European Journal of Social Sciences 14(3/4): 13.
    • (2010) European Journal of Social Sciences , vol.14 , Issue.3-4
    • Buyuksalvarci, A.1
  • 4
    • 84890136767 scopus 로고    scopus 로고
    • Firm size, technological capability, exports and economic performance: The case of electronics industry in Malaysia
    • Chandran, V. G. R.; Rasiah, R. 2013. Firm size, technological capability, exports and economic performance: the case of electronics industry in Malaysia, Journal of Business Economics and Management 14(4): 741-757. http://dx.doi.org/10.3846/16111699.2012.668860.
    • (2013) Journal of Business Economics and Management , vol.14 , Issue.4 , pp. 741-757
    • Chandran, V.G.R.1    Rasiah, R.2
  • 5
    • 84870720065 scopus 로고    scopus 로고
    • Stock market response to monetary and fiscal policy shocks: Multi-country evidence
    • Chatziantoniou, I.; Duffy, D.; Filis, G. 2013. Stock market response to monetary and fiscal policy shocks: multi-country evidence, Economic Modelling 30: 754-769. http://dx.doi.org/10.1016/j.econmod.2012.10.005.
    • (2013) Economic Modelling , vol.30 , pp. 754-769
    • Chatziantoniou, I.1    Duffy, D.2    Filis, G.3
  • 6
    • 0000496978 scopus 로고
    • Economic forces and the stock market
    • Chen, N.; Roll, R.; Ross, S. 1986. Economic forces and the stock market, The Journal of Business 59(3): 383-403. http://dx.doi.org/10.1086/296344.
    • (1986) The Journal of Business , vol.59 , Issue.3 , pp. 383-403
    • Chen, N.1    Roll, R.2    Ross, S.3
  • 7
    • 33745930050 scopus 로고    scopus 로고
    • Energy shocks and financial markets: Nonlinear linkages
    • Ciner, C. 2001. Energy shocks and financial markets: nonlinear linkages, Studies in Nonlinear Dynamics and Econometrics 5(3): 203-212. http://dx.doi.org/10.2202/1558-3708.1079.
    • (2001) Studies in Nonlinear Dynamics and Econometrics , vol.5 , Issue.3 , pp. 203-212
    • Ciner, C.1
  • 8
    • 77958609719 scopus 로고    scopus 로고
    • Alterations in the financial markets of the Baltic countries and Russia in the period of economic downturn
    • Dubinskas, P.; Stungurienė, S. 2010. Alterations in the financial markets of the Baltic countries and Russia in the period of economic downturn, Technological and Economic Development of Economy 16(3): 502-515. http://dx.doi.org/10.3846/tede.2010.31.
    • (2010) Technological and Economic Development of Economy , vol.16 , Issue.3 , pp. 502-515
    • Dubinskas, P.1    Stungurienė, S.2
  • 9
    • 85020121851 scopus 로고    scopus 로고
    • Eurostat database data. 2011. [online], [cited 30 october 2014]. European Commission. Available from Internet: http://epp.eurostat.ec.europa.eu/portal/page/portal/statistics/search_database.
  • 10
    • 33749009107 scopus 로고
    • Stock return, real activity, inflation and money
    • Fama, E. 1981. Stock return, real activity, inflation and money, The American Economic Review 65: 269-282.
    • (1981) The American Economic Review , vol.65 , pp. 269-282
    • Fama, E.1
  • 11
    • 77953362822 scopus 로고    scopus 로고
    • Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations?
    • Filis, G. 2010. Macro economy, stock market and oil prices: do meaningful relationships exist among their cyclical fluctuations?, Energy Economics 32(4): 877-886. http://dx.doi.org/10.1016/j.eneco.2010.03.010.
    • (2010) Energy Economics , vol.32 , Issue.4 , pp. 877-886
    • Filis, G.1
  • 12
    • 84944830931 scopus 로고
    • The fiscal and monetary linkage between stock returns and inflation
    • Geske, R.; Roll, R. 1983. The fiscal and monetary linkage between stock returns and inflation, The Journal of Finance 38(1): 1-33. http://dx.doi.org/10.1111/j.1540-6261.1983.tb03623.x.
    • (1983) The Journal of Finance , vol.38 , Issue.1 , pp. 1-33
    • Geske, R.1    Roll, R.2
  • 13
    • 0032608558 scopus 로고    scopus 로고
    • Causal relations among stock returns and macroeconomic variables in a small, open economy, Journal of International Financial Markets
    • Gjerde, O.; Sattem, F. 1999. Causal relations among stock returns and macroeconomic variables in a small, open economy, Journal of International Financial Markets, Institutions and Money 9(1): 61-74. http://dx.doi.org/10.1016/S1042-4431(98)00036-5.
    • (1999) Institutions and Money , vol.9 , Issue.1 , pp. 61-74
    • Gjerde, O.1    Sattem, F.2
  • 14
    • 0036889258 scopus 로고    scopus 로고
    • Devaluations and emerging stock market returns
    • Glen, J. 2002. Devaluations and emerging stock market returns, Emerging Markets Review 3(4): 409-428. http://dx.doi.org/10.1016/S1566-0141(02)00044-4.
    • (2002) Emerging Markets Review , vol.3 , Issue.4 , pp. 409-428
    • Glen, J.1
  • 15
    • 50849147784 scopus 로고
    • An empirical examination of the Arbitrage Pricing Theory: Using Japanese data
    • Hamao, Y. 1988. An empirical examination of the Arbitrage Pricing Theory: using Japanese data, Japan and the World Economy 1(1): 45-61. http://dx.doi.org/10.1016/0922-1425(88)90005-9.
    • (1988) Japan and the World Economy , vol.1 , Issue.1 , pp. 45-61
    • Hamao, Y.1
  • 16
    • 33747064808 scopus 로고    scopus 로고
    • Macroeconomic influence on the stock market
    • Hondroyiannis, G.; Papapetrou, E. 2001. Macroeconomic influence on the stock market, Journal of Economics and Finance 25(1): 33-49. http://dx.doi.org/10.1007/BF02759685.
    • (2001) Journal of Economics and Finance , vol.25 , Issue.1 , pp. 33-49
    • Hondroyiannis, G.1    Papapetrou, E.2
  • 17
    • 84864000813 scopus 로고    scopus 로고
    • The role of macroeconomic variables on stock market index in China and India
    • Hosseini, S. M.; Ahmad, Z.; Lai, Y. W. 2011. The role of macroeconomic variables on stock market index in China and India, International Journal of Economics and Finance 3(6): 12. http://dx.doi.org/10.5539/ijef.v3n6p233.
    • (2011) International Journal of Economics and Finance , vol.3 , Issue.6
    • Hosseini, S.M.1    Ahmad, Z.2    Lai, Y.W.3
  • 18
    • 84864011675 scopus 로고    scopus 로고
    • Impacts of macroeconomic variables on the stock market index in Poland: New evidence
    • Hsing, Y.; Hsieh, W. 2012. Impacts of macroeconomic variables on the stock market index in Poland: new evidence, Journal of Business Economics and Management 13(2): 334-343. http://dx.doi.org/10.3846/16111699.2011.620133.
    • (2012) Journal of Business Economics and Management , vol.13 , Issue.2 , pp. 334-343
    • Hsing, Y.1    Hsieh, W.2
  • 19
    • 58249132442 scopus 로고    scopus 로고
    • Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan
    • Humpe, A.; Macmillan, P. 2009. Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan, Applied Financial Economics 19(2): 111-119. http://dx.doi.org/10.1080/09603100701748956.
    • (2009) Applied Financial Economics , vol.19 , Issue.2 , pp. 111-119
    • Humpe, A.1    Macmillan, P.2
  • 20
    • 79960167227 scopus 로고    scopus 로고
    • Stock market development and macroeconomic performance in Thailand
    • Ibrahim, M. H. 2011. Stock market development and macroeconomic performance in Thailand, Inzinerine Ekonomika -Engineering Economics 22(3): 230-240. http://dx.doi.org/10.5755/j01.ee.22.3.513.
    • (2011) Inzinerine Ekonomika -Engineering Economics , vol.22 , Issue.3 , pp. 230-240
    • Ibrahim, M.H.1
  • 21
    • 0039607955 scopus 로고    scopus 로고
    • Oil and the stock markets
    • Jones, C. M.; Kaul, G. 1996. Oil and the stock markets, The Journal of Finance 51(2): 463-491. http://dx.doi.org/10.1111/j.1540-6261.1996.tb02691.x.
    • (1996) The Journal of Finance , vol.51 , Issue.2 , pp. 463-491
    • Jones, C.M.1    Kaul, G.2
  • 22
    • 85015792628 scopus 로고    scopus 로고
    • The relation between the stock price of Lithuanian enterprise and macroeconomic factors
    • Laskienė, D.; Pekarskienė, I. 2007. The relation between the stock price of Lithuanian enterprise and macroeconomic factors, Economics and Management 12: 791-797.
    • (2007) Economics and Management , vol.12 , pp. 791-797
    • Laskienė, D.1    Pekarskienė, I.2
  • 23
    • 77949585980 scopus 로고    scopus 로고
    • Relationship between macroeconomic variables and stock market indices: Cointegration evidence from stock exchange of Singapore’s all-S sector indices
    • Maysami, R. C.; Howe, L. C.; Hamzah, M. A. 2004. Relationship between macroeconomic variables and stock market indices: cointegration evidence from stock exchange of Singapore’s all-S sector indices, Journal Pengurusan 24: 47-77.
    • (2004) Journal Pengurusan , vol.24 , pp. 47-77
    • Maysami, R.C.1    Howe, L.C.2    Hamzah, M.A.3
  • 24
    • 0002673202 scopus 로고    scopus 로고
    • A vector error correction model of the Singapore stock market
    • Maysami, R. C.; Koh, T. S. 2000. A vector error correction model of the Singapore stock market, International Review of Economics and Finance 9(1): 79-96. http://dx.doi.org/10.1016/S1059-0560(99)00042-8.
    • (2000) International Review of Economics and Finance , vol.9 , Issue.1 , pp. 79-96
    • Maysami, R.C.1    Koh, T.S.2
  • 25
    • 77953996319 scopus 로고    scopus 로고
    • Macroeconomic variables and their relationship with stock returns: Error correction model evidence from Hong Kong and Singapore
    • Maysami, R. C.; Sim, H. H. 2002. Macroeconomic variables and their relationship with stock returns: error correction model evidence from Hong Kong and Singapore, The Asian Economic Review: Journal of the Indian Institute of Economics 44(1): 69-85.
    • (2002) The Asian Economic Review: Journal of the Indian Institute of Economics , vol.44 , Issue.1 , pp. 69-85
    • Maysami, R.C.1    Sim, H.H.2
  • 26
    • 30744461248 scopus 로고    scopus 로고
    • Macroeconomic forces and stock returns: A general-to-specific ECM analysis of the Japanese and South Korean markets
    • Maysami, R. C.; Sim, H. H. 2001. Macroeconomic forces and stock returns: a general-to-specific ECM analysis of the Japanese and South Korean markets, International Quarterly Journal of Finance 1(1): 83-99.
    • (2001) International Quarterly Journal of Finance , vol.1 , Issue.1 , pp. 83-99
    • Maysami, R.C.1    Sim, H.H.2
  • 27
    • 85015716546 scopus 로고    scopus 로고
    • Fundamental and macroeconomic information for the security prices valuation: The French case
    • Martinez, I. 1999. Fundamental and macroeconomic information for the security prices valuation: the French case, Managerial Finance 25(12): 17-30. http://dx.doi.org/10.1108/03074359910766316.
    • (1999) Managerial Finance , vol.25 , Issue.12 , pp. 17-30
    • Martinez, I.1
  • 28
    • 85020089872 scopus 로고    scopus 로고
    • Martinez, M. A.; Rubio, G. 1989. Arbitrage pricing with macroeconomic variables: an empirical investigation using Spanish data, Working paper, Universidad del Pais Vasco.
  • 29
    • 67349251250 scopus 로고    scopus 로고
    • Crude oil and stock markets: Stability, instability, and bubbles
    • Miller, J. I.; Ratti, R. A. 2009. Crude oil and stock markets: stability, instability, and bubbles, Energy Economics 31(4): 559-568. http://dx.doi.org/10.1016/j.eneco.2009.01.009.
    • (2009) Energy Economics , vol.31 , Issue.4 , pp. 559-568
    • Miller, J.I.1    Ratti, R.A.2
  • 30
    • 0036183750 scopus 로고    scopus 로고
    • The relationship between conditional stock market volatility and conditional macroeconomic volatility: Empirical evidence based on UK data
    • Morelli, D. 2002. The relationship between conditional stock market volatility and conditional macroeconomic volatility: empirical evidence based on UK data, International Review of Financial Analysis 11(1): 101-110. http://dx.doi.org/10.1016/S1057-5219(01)00066-7.
    • (2002) International Review of Financial Analysis , vol.11 , Issue.1 , pp. 101-110
    • Morelli, D.1
  • 31
    • 84994198928 scopus 로고
    • Dynamic relations between macroeconomic variables and the Japanese stock market: An application of a vector error correction model
    • Mukherjee, T. K.; Naka, A. 1995. Dynamic relations between macroeconomic variables and the Japanese stock market: an application of a vector error correction model, The Journal of Financial Research 18(2): 223-237.
    • (1995) The Journal of Financial Research , vol.18 , Issue.2 , pp. 223-237
    • Mukherjee, T.K.1    Naka, A.2
  • 32
    • 0012494420 scopus 로고    scopus 로고
    • Stock prices and domestic and international macroeconomic activity: A cointegration approach
    • Nasseh, A.; Strauss, J. 2000. Stock prices and domestic and international macroeconomic activity: a cointegration approach, The Quarterly Review of Economics and Finance 40(2): 229-245. http://dx.doi.org/10.1016/S1062-9769(99)00054-X.
    • (2000) The Quarterly Review of Economics and Finance , vol.40 , Issue.2 , pp. 229-245
    • Nasseh, A.1    Strauss, J.2
  • 33
    • 84859934627 scopus 로고    scopus 로고
    • Baltic stock markets and the financial crisis of 2008-2009
    • Nikkinen, J.; Piljak, V.; Aijo, J. 2012. Baltic stock markets and the financial crisis of 2008-2009, Research in International Business and Finance 26(3): 398-409. http://dx.doi.org/10.1016/j.ribaf.2012.03.003.
    • (2012) Research in International Business and Finance , vol.26 , Issue.3 , pp. 398-409
    • Nikkinen, J.1    Piljak, V.2    Aijo, J.3
  • 34
    • 85020111823 scopus 로고    scopus 로고
    • OMX Baltic security market data. 2011. [online], [cited 30 October 2014]. Nasdaq. Available from Internet: http://www.nasdaqomxbaltic.com/market/?lang=lt.
  • 35
    • 40649127000 scopus 로고    scopus 로고
    • The role of higher oil prices: A case of major developed countries
    • O’Neill, T. J.; Penm, J.; Terrell, R. D. 2008. The role of higher oil prices: a case of major developed countries, Research in Finance 24: 287-299. http://dx.doi.org/10.1016/S0196-3821(07)00211-0.
    • (2008) Research in Finance , vol.24 , pp. 287-299
    • O’Neill, T.J.1    Penm, J.2    Terrell, R.D.3
  • 36
    • 0036865589 scopus 로고    scopus 로고
    • The stability of the relation between the stock market and macroeconomic forces, Economic Notes, Review of Banking
    • Panetta, F. 2002. The stability of the relation between the stock market and macroeconomic forces, Economic Notes, Review of Banking, Finance and Monetary economics 31(3): 417-450. http://dx.doi.org/10.1111/1468-0300.00093.
    • (2002) Finance and Monetary Economics , vol.31 , Issue.3 , pp. 417-450
    • Panetta, F.1
  • 37
    • 0000285422 scopus 로고
    • The reaction of stock prices to unanticipated changes in money: A note
    • Pearce, D. K.; Roley, V. V. 1983. The reaction of stock prices to unanticipated changes in money: a note, The Journal of Finance 38(4): 1323-1333. http://dx.doi.org/10.1111/j.1540-6261.1983.tb02303.x.
    • (1983) The Journal of Finance , vol.38 , Issue.4 , pp. 1323-1333
    • Pearce, D.K.1    Roley, V.V.2
  • 38
    • 77952911920 scopus 로고    scopus 로고
    • Macroeconomic indicators and their impact on stock market performance in the short and long run: The case of the Baltic states
    • Pilinkus, D. 2010. Macroeconomic indicators and their impact on stock market performance in the short and long run: the case of the Baltic states, Technological and Economic Development of Economy 16(2): 291-304. http://dx.doi.org/10.3846/tede.2010.19.
    • (2010) Technological and Economic Development of Economy , vol.16 , Issue.2 , pp. 291-304
    • Pilinkus, D.1
  • 39
    • 84871905638 scopus 로고    scopus 로고
    • Dynamic relationship between sector-specific indices and macroeconomic fundamentals
    • Pyeman, J.; Ahmad, I. 2009. Dynamic relationship between sector-specific indices and macroeconomic fundamentals, Malaysian Accounting Review 8(1): 81-100.
    • (2009) Malaysian Accounting Review , vol.8 , Issue.1 , pp. 81-100
    • Pyeman, J.1    Ahmad, I.2
  • 40
    • 84902670538 scopus 로고
    • Macroeconomic factors and the UK stock market
    • Poon, S.; Taylor, S. J. 1991. Macroeconomic factors and the UK stock market, Journal of Business Finance & Accounting 18(5): 619-636. http://dx.doi.org/10.1111/j.1468-5957.1991.tb00229.x.
    • (1991) Journal of Business Finance & Accounting , vol.18 , Issue.5 , pp. 619-636
    • Poon, S.1    Taylor, S.J.2
  • 41
    • 29844448346 scopus 로고    scopus 로고
    • Quantitative analysis of influential factors in the Lithuanian enterprises stock and stock indexes
    • Rafael, Ž.; Tvaronavičienė, M. 2005. Quantitative analysis of influential factors in the Lithuanian enterprises stock and stock indexes, Business: Theory and Practise VI(3): 159-170.
    • (2005) Business: Theory and Practise , vol.6 , Issue.3 , pp. 159-170
    • Rafael, Ž.1    Tvaronavičienė, M.2
  • 42
    • 33947228979 scopus 로고    scopus 로고
    • Dynamic analysis between the US stock returns and the macroeconomic variables
    • Ratanapakorn, O.; Sharma, S. C. 2007. Dynamic analysis between the US stock returns and the macroeconomic variables, Applied Financial Economics 17(5): 369-377. http://dx.doi.org/10.1080/09603100600638944.
    • (2007) Applied Financial Economics , vol.17 , Issue.5 , pp. 369-377
    • Ratanapakorn, O.1    Sharma, S.C.2
  • 43
    • 84957097903 scopus 로고    scopus 로고
    • Macroeconomic activity and the Malaysian stock market: Empirical evidence of dynamic relations
    • Ratneswary, R.; Rasiah, V. 2010. Macroeconomic activity and the Malaysian stock market: empirical evidence of dynamic relations, The International Journal of Business and Finance Research 4(2): 59-69.
    • (2010) The International Journal of Business and Finance Research , vol.4 , Issue.2 , pp. 59-69
    • Ratneswary, R.1    Rasiah, V.2
  • 44
    • 27644581874 scopus 로고    scopus 로고
    • Economic growth and equity returns
    • Ritter, J. R. 2005. Economic growth and equity returns, Pacific-Basin Finance Journal 13(5): 489-503. http://dx.doi.org/10.1016/j.pacfin.2005.07.001.
    • (2005) Pacific-Basin Finance Journal , vol.13 , Issue.5 , pp. 489-503
    • Ritter, J.R.1
  • 45
    • 0032702341 scopus 로고    scopus 로고
    • Oil price shocks and stock market activity
    • Sadorsky, P. 1999. Oil price shocks and stock market activity, Energy Economics 21(5): 449-469. http://dx.doi.org/10.1016/S0140-9883(99)00020-1.
    • (1999) Energy Economics , vol.21 , Issue.5 , pp. 449-469
    • Sadorsky, P.1
  • 46
    • 85020065790 scopus 로고    scopus 로고
    • Shanken, J.; Weinstein, M. I. 1990. Macroeconomic variables and asset pricing: estimation and tests, Working paper, University of Rochester.
  • 49
    • 84866313424 scopus 로고    scopus 로고
    • Technology stocks and economic performance of government-linked companies: The case of Malaysia
    • Wong, C. Y.; Govindaraju, V. G. R. C. 2012. Technology stocks and economic performance of government-linked companies: the case of Malaysia, Technological and Economic Development of Economy 18(2): 248-261. http://dx.doi.org/10.3846/20294913.2012.688313.
    • (2012) Technological and Economic Development of Economy , vol.18 , Issue.2 , pp. 248-261
    • Wong, C.Y.1    Govindaraju, V.G.R.C.2
  • 50
    • 78149371936 scopus 로고    scopus 로고
    • The institutional and macroeconomic determinants of stock market development in emerging economies
    • Yartey, C. A. 2010. The institutional and macroeconomic determinants of stock market development in emerging economies, Applied Financial Economics 20(21): 1615-1625. http://dx.doi.org/10.1080/09603107.2010.522519.
    • (2010) Applied Financial Economics , vol.20 , Issue.21 , pp. 1615-1625
    • Yartey, C.A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.