Granger causality between stock market and macroeconomic
indicators: evidence from Germany

J 2016

Granger causality between stock market and macroeconomic indicators: evidence from Germany

PLÍHAL, Tomáš

Základní údaje

Originální název

Granger causality between stock market and macroeconomic indicators: evidence from Germany

Autoři

PLÍHAL, Tomáš (203 Česká republika, garant, domácí)

Vydání

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2016, 2464-8310

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Kód RIV

RIV/00216224:14560/16:00091230

Organizační jednotka

Ekonomicko-správní fakulta

DOI

http://dx.doi.org/10.11118/actaun201664062101

Klíčová slova anglicky

Granger causality; Efficient market hypothesis; DAX; stock market; macroeconomic indicators; Germany

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 17. 3. 2018 11:44, doc. Ing. Tomáš Plíhal, Ph.D.

Anotace

V originále

The aim of this paper is to investigate informational efficiency of the stock market in Germany. Granger causality between stock market and the selected macroeconomic variables is investigated by bivariate analysis using Toda-Yamamoto (1995) approach. This study focuses on monthly data from January 1999 to September 2015, and stock market is represented by blue chip stock market index DAX. Investigated macroeconomic indicators include industrial production, inflation, money supply, interest rate, trade balance and exchange rate. Stock market Granger-causes industrial production and interest rate, and is therefore leading indicator of these variables. Between money supply and stock prices is Granger causality in both directions. Other variables seem to be independent on development of the stock market. We do not find any violation of Efficient market hypothesis which indicates that stock market in Germany is informational efficient.

Návaznosti

MUNI/A/1025/2015, interní kód MU

Název: Hrozby a výzvy prostředí přetrvávajících nízkých úrokových sazeb pro vývoj a stabilitu finančního systému (Akronym: FinStabilita)

Investor: Masarykova univerzita, Hrozby a výzvy prostředí přetrvávajících nízkých úrokových sazeb pro vývoj a stabilitu finančního systému, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

PLÍHAL, Tomáš. Granger causality between stock market and macroeconomic indicators: evidence from Germany. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. 2016, roč. 64, č. 6, s. 2101-2108. ISSN 2464-8310. Dostupné z: https://dx.doi.org/10.11118/actaun201664062101.

@article{1356848,
   author = {Plíhal, Tomáš},
   article_number = {6},
   doi = {http://dx.doi.org/10.11118/actaun201664062101},
   keywords = {Granger causality; Efficient market hypothesis; DAX; stock market; macroeconomic indicators; Germany},
   language = {eng},
   issn = {2464-8310},
   journal = {Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis},
   title = {Granger causality between stock market and macroeconomic indicators: evidence from Germany},
   url = {https://acta.mendelu.cz/64/6/2101/},
   volume = {64},
   year = {2016}
}

TY  - JOUR
ID  - 1356848
AU  - Plíhal, Tomáš
PY  - 2016
TI  - Granger causality between stock market and macroeconomic indicators: evidence from Germany
JF  - Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
VL  - 64
IS  - 6
SP  - 2101-2108
EP  - 2101-2108
SN  - 24648310
KW  - Granger causality
KW  - Efficient market hypothesis
KW  - DAX
KW  - stock market
KW  - macroeconomic indicators
KW  - Germany
UR  - https://acta.mendelu.cz/64/6/2101/
L2  - https://acta.mendelu.cz/64/6/2101/
N2  - The aim of this paper is to investigate informational efficiency of the stock market in Germany. Granger causality between stock market and the selected macroeconomic variables is investigated by bivariate analysis using Toda-Yamamoto (1995) approach. This study focuses on monthly data from January 1999 to September 2015, and stock market is represented by blue chip stock market index DAX. Investigated macroeconomic indicators include industrial production, inflation, money supply, interest rate, trade balance and exchange rate. Stock market Granger-causes industrial production and interest rate, and is therefore leading indicator of these variables. Between money supply and stock prices is Granger causality in both directions. Other variables seem to be independent on development of the stock market. We do not find any violation of Efficient market hypothesis which indicates that stock market in Germany is informational efficient.
ER  -

PLÍHAL, Tomáš. Granger causality between stock market and macroeconomic indicators: evidence from Germany. \textit{Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis}. 2016, roč.~64, č.~6, s.~2101-2108. ISSN~2464-8310. Dostupné z: https://dx.doi.org/10.11118/actaun201664062101.

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