the effect of macroeconomic factors on stock prices of swiss real estate companies

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ID: 209378
2016
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Abstract
Stock values of companies listed on stock exchanges could be influenced by many factors. The aim of this article is to examine existence and character of relationship between stock prices of selected Swiss real estate companies and macroeconomic fundamentals (GDP, interest rate, price level). The existence of long-run equilibrium relationship between stock prices and macroeconomic fundamentals is tested with the Johansen cointegration. The short run dynamics between the variables is examined by Vector Error Correction modelling and the Granger causality test. During the period 2005 – 2014 we revealed a long‑run equilibrium for five of the six analyzed stocks. We also confirmed that macroeconomic variables and the interest rate in particular, can explain a long-run behavior of stock prices. By contrast, macroeconomic variables are usually short in explanation of short‑run dynamics of stock prices. However, the results differ substantially among the stocks and, hence, they prevent us from drawing any general conclusion for the entire real estate sector in Switzerland.
Reference Key
ligock2016actathe Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Marie Ligocká;Tomáš Pražák;Daniel Stavárek
Journal Talanta
Year 2016
DOI
10.11118/actaun201664062015
URL
https://acta.mendelu.cz/64/6/2015/
Keywords
cointegration stock market

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