| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1107248 | Procedia - Social and Behavioral Sciences | 2016 | 9 Pages |
Abstract
This study analyzes relationship between macroeconomic indicators and stock market in Germany. Aim of this paper is to answer the question how stock market reflects economic conditions and if stock market is informational efficient. Toda-Yamamoto (1995) approach is used for testing Granger causality. Bivariate analysis is performed on monthly data from January 1999 to September 2015, and six macroeconomic indicators are examined: industrial production, inflation, money supply, interest rate, trade balance and exchange rate. Analysis applies unit root tests, testing for cointegration using the Johansen methodology and Wald test for linear restriction to check Granger causality.
Related Topics
Social Sciences and Humanities
Arts and Humanities
Arts and Humanities (General)
Authors
Tomáš Plíhal,