| PLÍHAL, Tomáš. Stock market informational efficiency in Germany: Granger causality between DAX and selected macroeconomic indicators. Procedia - Social and Behavioral Sciences. Elsevier, 2016, roč. 220, 31 May 2016, s. 321-329. ISSN 1877-0428. Dostupné z: https://dx.doi.org/10.1016/j.sbspro.2016.05.505. |
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@article{1347259,
author = {Plíhal, Tomáš},
article_number = {31 May 2016},
doi = {http://dx.doi.org/10.1016/j.sbspro.2016.05.505},
keywords = {Germany; macroeconomic indicators ;stock market ;Granger causality; cointegration.},
language = {eng},
issn = {1877-0428},
journal = {Procedia - Social and Behavioral Sciences},
title = {Stock market informational efficiency in Germany: Granger causality between DAX and selected macroeconomic indicators},
volume = {220},
year = {2016}
}
TY - JOUR
ID - 1347259
AU - Plíhal, Tomáš
PY - 2016
TI - Stock market informational efficiency in Germany: Granger causality between DAX and selected macroeconomic indicators
JF - Procedia - Social and Behavioral Sciences
VL - 220
IS - 31 May 2016
SP - 321-329
EP - 321-329
PB - Elsevier
SN - 18770428
KW - Germany
KW - macroeconomic indicators ;stock market ;Granger causality
KW - cointegration.
N2 - 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.
ER -
PLÍHAL, Tomáš. Stock market informational efficiency in Germany: Granger causality between DAX and selected macroeconomic indicators. \textit{Procedia - Social and Behavioral Sciences}. Elsevier, 2016, roč.~220, 31 May 2016, s.~321-329. ISSN~1877-0428. Dostupné z: https://dx.doi.org/10.1016/j.sbspro.2016.05.505.
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