Naslov
The Impact of Macroeconomic Variables on Croatian Stock Market

Autori
Cota, Boris ; Erjavec, Nataša ; Arnerić, Josip

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the 4th International Conference "An Enterprise Odyssey : Tourism - Governance and Entrepreneurship" / Galetić, Lovorka ; Čavlek Nevenka - Zagreb : Ekonomski fakultet Sveučilišta u Zagrebu, 2008

ISBN
978-953-6025-24-4

Skup
International Conference "An Enterprise Odyssey: Governance and Entrepreneurship" (4 ; 2008)

Mjesto i datum
Cavtat, Hrvatska, 11.06.2008. - 14.06.2008

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
stock market; macroeconomic variables; presents value model; cointegration

Sažetak
The goal of this paper is to investigate relationships between macroeconomic variables and stock market returns in Croatia. The impact of macroeconomic variables on Croatian stock market is analysed through the impact of domestic and international macroeconomic variables in the short and the long run. The long run relationship is based on the present value model (PVM) which links stock prices and the future discount rate of expected cash flows. PVM should tell us if stock markets are leading indicators of economic activity. The USA is selected as an international factor of global influence and Germany is selected as an international factor of local (European) influence. Germany is one of Croatia’ s main trading partners, too. Using cointegration and causality techniques it is proved that domestic economic activity, measured through industrial production, has significant influence on Croatian stock market and that the international economic activity does not have a significant influence in the long run.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA