Detail práce

CEE & SEE Markets Macro-Fundamental Analysis

Autor: Mgr. Jitka Poštulková
Rok: 2016 - letní
Vedoucí: PhDr. Oliver Polyák
Typ práce: Diplomová
Finance, finanční trhy a bankovnictví
Jazyk: Anglicky
Stránky: 95
Abstrakt: The aim of this thesis is to verify and analyse presumed relations between selected
macro-fundamentals, namely USD exchange rate, production index, interbank offered
rate, inflation, money supply and two exogenous indices ( Standard & Poor´s 500 and
EURO STOXX 50), and CEE (Austria, Czech Republic, Poland, Hungary) or SEE
(Bulgaria, Croatia, Slovenia, Romania) financial markets over the period from
December 1995 to December 2015. In order to test the long-run cointegration
relationships between studied markets and the set of macroeconomic variables,
the Engle-Granger and Johansen tests are applied. The vector error correction model
is used to confirm the long-run equilibrium interlinkages and the results show similar
trend tendencies between stock indices and some of the macro-fundamentals in
Croatia, Czech Republic, Hungary, Poland and Romania. To verify the short-run
causal linkages, the Granger causality test is employed. Based on retrieved findings,
the efficiency of studied markets with respect to Efficient Market Theory is reviewed.
Our findings reveal several pairwise short-run causal impacts between studied
macroeconomic indicators and stock indices. The only indicator which does not impact
any stock market is the interbank offered rate. Moreover, according to our results, all
CEE&SEE stock markets taken under consideration violate some form of market




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