Testing for Granger Causality Between Stock Return, Economic Fluctuations and Sentiment Indicators: Evidence from Poland

Paweł Sekuła

Abstract


Purpose of the article: This paper empirically investigates the interdependencies between stock return, economic fluctuations and sentiment indicators.

Research methods: The research used a bivariate VAR model and Granger causality tests are performed. Quarterly data covering the period from September 2001 to December 2018 are used.

Main findings: The empirical results indicated a one-way causality from economic fluctuations to sentiment indicators and from stock return to sentiment indicators. The tests did not confirm the causal relationship between economic fluctuations and stock return.


Keywords


economic fluctuation; stock return; sentiment indicators; Granger causality

Full Text:

PDF (Język Polski)

References


Afshar, T., Zomorrodian, R. (2007). Stock Return, Consumer Confidence, Purchasing Manager’s Index and Economic Fluctuations. Journal of Business & Economics Research, 5(8).

Armah, N.A., Swanson, N.R. (2011). Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators. Applied Financial Economics, 21(1–2). doi:10.1080/09603107.2011.523188

Atje, R., Jovanovic, B. (1993). Stock markets and development. European Economic Review, 37(2–3). doi:10.1016/0014-2921(93)90053-D

Binswanger, M. (2000). Stock returns and real activity: is there still a connection? Applied Financial Economics, 10(4). doi:10.1080/09603100050031507

Brzeszczyński, J., Gajdka, J., Schabek, T. (2009). Koniunktura giełdowa a zmiany w realnej sferze gospodarki w Polsce. Przegląd Organizacji, (7–8).

Chatterjee, U.K. (2016). Do stock market trading activities forecast recessions? Economic Modelling, 59. doi:10.1016/j.econmod.2016.08.007

Croux, Ch., Reusens, P. (2013). Do stock prices contain predictive power for the future economic activity? A Granger causality analysis in the frequency domain. Journal of Macroeconomics, 35. doi:10.1016/j.jmacro.2012.10.001

Dua, P., Tuteja, D. (2016). Financial crises and dynamic linkages across international stock and currency markets. Economic Modelling, 59. doi:10.1016/j.econmod.2016.07.013

Fernandes, C.M.A., Goncalves, P.M.M.G., Vieira, E.F.S. (2013). Does Sentiment Matter for Stock Market Returns? Evidence from a Small European Market. Journal of Behavioral Finance, 14(4). doi:10.1080/15427560.2013.848867

Gajdka, J., Pietraszewski, P. (2014). Wzrost gospodarczy a ceny akcji. Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia, (67).

Granger, C.W.J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3). doi:10.2307/1912791

Harris, R.D.F. (1997). Stock markets and development: A re-assessment. European Economic Review, 41(1). doi:10.1016/S0014-2921(96)00021-9

Harvey, C.R. (1989). Forecasts of Economic Growth from the Bond and Stock Markets. Financial Analysts Journal, 45(5). doi:10.2469/faj.v45.n5.38

Krchniva, K. (2016). Do Stock Markets Have Any Impact on Real Economic Activity? Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 64(1). doi:10.11118/actaun201664010283

Lycosa, S. (2014). Growth-returns nexus: Evidence from three Central and Eastern European countries. Economic Modelling, 42. doi:10.1016/j.econmod.2014.07.023

Pena, J.I., Rodriguez, R., (2006). On the Economic Link Between Asset Prices and Real Activity. Journal of Business Finance & Accounting, 34(5–6). doi:10.1111/j.1468-5957.2006.00659.x

Tsouma, E. (2009). Stock returns and economic activity in mature and emerging markets. Quarterly Review of Economics and Finance, 49(2). doi:10.1016/j.qref.2008.02.002

Ulrichs, M. (2013). Analiza wyprzedzających i jednoczesnych wskaźników gospodarczych. Prace i Materiały Instytutu Rozwoju Gospodarczego SGH, (91).

Widz, E. (2018). Wahania koniunktury giełdowej a wahania koniunktury gospodarczej w Polsce – analiza przyczynowości w sensie Grangera. Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, (531). doi:10.15611/pn.2018.531.40




DOI: http://dx.doi.org/10.17951/h.2019.53.4.129-139
Date of publication: 2019-12-31 08:37:25
Date of submission: 2019-05-14 16:20:50


Statistics


Total abstract view - 928
Downloads (from 2020-06-17) - PDF (Język Polski) - 0

Indicators



Refbacks

  • There are currently no refbacks.


Copyright (c) 2019 Paweł Sekuła

Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.