Evaluation of relationship between macroeconomic indicators of the Baltic States and stock prices in stock exchange
Journal Title: Ekonomika ir Vadyba: Aktualijos ir Perspektyvos - Year 2013, Vol 29, Issue 1
Abstract
During the research on the relationship between the macroeconomic indicators of the Baltic States and the OMX index and using the data for the first quarter of 2000-2012 a strong and direct relationship between the OMXV index (Lithuania) and the Measure of Money Supply M1 and the OMXV index and the Foreign Direct Investment Index was identified. The identified relationship between the OMXV index and GDP per capita and the OMXV index and the Producer Price Index was direct and moderate. The identified relationship between the OMXR index and the Measure of Money Supply M1 was strong and direct. The identified relationship between the OMXR index and GDP per capita was direct and moderate. The relationship between the OMXR index and the Harmonised Index of Consumer Prices, the Foreign Direct Investment Index, the Producer Price Index was direct but weak. Having composed the equation of the multinomial regression model of the Baltic Stock Exchanges indexes and the macroeconomic indicators for the analysed period it was identified that the OMXV index is affected by the OMXV index of the previous period, GDP per capita and the unemployment rate of the previous period. Increase in the unemployment rate has a negative effect on the OMXV index. The OMXR index is affected by the OMXR index of the previous period, GDP per capita and the unemployment rate. Increase in the unemployment rate has a negative effect on the OMXR index. The OMXT index is affected by the OMXT index of the previous period, the Measure of Money Supply M1 and the state sector debt. Increase in the state sector debt has a negative effect on the OMXT index. Keywords: the Baltic Stock Exchanges, stock prices, macroeconomic indicators.
Authors and Affiliations
Jūratė Marcišauskienė , Diana Cibulskienė
Keywords
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