LONG-RUN AND SHORT-RUN CAUSALITY BETWEEN STOCK PRICE INDICES AND MACROECONOMIC VARIABLES: EVIDENCE OF PANEL VECM ANALYSIS FROM BOSNIA AND HERZEGOVINA, CROATIA, NORTH MACEDONIA AND SERBIA
The purpose of this paper is to identify the long-run and short-run relationship between the values of the Macedonian Stock Exchange Index composed of 10 most liquid listed stocks (MBI10), the Zagreb Stock Exchange Index (CROBEX) composed of the most liquid listed stocks, the Sarajevo Stock Exchang...
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Faculty of Economics, University of Tuzla
2022-11-01
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| Series: | Economic Review |
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| Online Access: | https://www.er.ef.untz.ba/index.php/er/article/view/37 |
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| author | Goran Mojanoski |
| author_facet | Goran Mojanoski |
| author_sort | Goran Mojanoski |
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The purpose of this paper is to identify the long-run and short-run relationship between the values of the Macedonian Stock Exchange Index composed of 10 most liquid listed stocks (MBI10), the Zagreb Stock Exchange Index (CROBEX) composed of the most liquid listed stocks, the Sarajevo Stock Exchange Index (SASX-10) composed of 10 most liquid listed stocks and the Belgrade Stock Exchange Index composed of 15 most liquid listed stocks (BELEX 15) and the selected macroeconomic variables. In order to identify the macroeconomic variables that affect the values of the selected stock indices, the analytical-synthetic method and the statistical method are applied. The statistical method uses econometric models for data analysis and interpretation and includes the application of the following econometric tools: Panel unit root test, Fisher -Johansen cointegration test, application of the panel vector error correction model (PVECM) and the Wald test statistics. The results of PVECM between the values of the selected stock indices and independent variables such as industrial production index 2015=100, average monthly gross wages, shows existence of conditionality or causal relationship on the long-run, when independent variable Harmonized Index of Consumer Prices (HICP) according to the COICOP classification 2015=100 is exluded from the model. By applying PVECM, it can be concluded that there is a long run causality running from independent variable to dependent variable, meaning that between the values of the selected stock indices and industrial production and average gross wages there is speed of adjustment towards long run equilibrium.
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| format | Article |
| id | doaj-art-929d54983c06427f86b62db31fe72588 |
| institution | Kabale University |
| issn | 1512-8962 2303-680X |
| language | English |
| publishDate | 2022-11-01 |
| publisher | Faculty of Economics, University of Tuzla |
| record_format | Article |
| series | Economic Review |
| spelling | doaj-art-929d54983c06427f86b62db31fe725882025-02-11T00:32:51ZengFaculty of Economics, University of TuzlaEconomic Review1512-89622303-680X2022-11-01202 LONG-RUN AND SHORT-RUN CAUSALITY BETWEEN STOCK PRICE INDICES AND MACROECONOMIC VARIABLES: EVIDENCE OF PANEL VECM ANALYSIS FROM BOSNIA AND HERZEGOVINA, CROATIA, NORTH MACEDONIA AND SERBIAGoran Mojanoski0Faculty of Economics, University “Ss. Cyril and Methodius”, North Macedonia The purpose of this paper is to identify the long-run and short-run relationship between the values of the Macedonian Stock Exchange Index composed of 10 most liquid listed stocks (MBI10), the Zagreb Stock Exchange Index (CROBEX) composed of the most liquid listed stocks, the Sarajevo Stock Exchange Index (SASX-10) composed of 10 most liquid listed stocks and the Belgrade Stock Exchange Index composed of 15 most liquid listed stocks (BELEX 15) and the selected macroeconomic variables. In order to identify the macroeconomic variables that affect the values of the selected stock indices, the analytical-synthetic method and the statistical method are applied. The statistical method uses econometric models for data analysis and interpretation and includes the application of the following econometric tools: Panel unit root test, Fisher -Johansen cointegration test, application of the panel vector error correction model (PVECM) and the Wald test statistics. The results of PVECM between the values of the selected stock indices and independent variables such as industrial production index 2015=100, average monthly gross wages, shows existence of conditionality or causal relationship on the long-run, when independent variable Harmonized Index of Consumer Prices (HICP) according to the COICOP classification 2015=100 is exluded from the model. By applying PVECM, it can be concluded that there is a long run causality running from independent variable to dependent variable, meaning that between the values of the selected stock indices and industrial production and average gross wages there is speed of adjustment towards long run equilibrium. https://www.er.ef.untz.ba/index.php/er/article/view/37panel VECMstock indexmacroeconomic variables |
| spellingShingle | Goran Mojanoski LONG-RUN AND SHORT-RUN CAUSALITY BETWEEN STOCK PRICE INDICES AND MACROECONOMIC VARIABLES: EVIDENCE OF PANEL VECM ANALYSIS FROM BOSNIA AND HERZEGOVINA, CROATIA, NORTH MACEDONIA AND SERBIA Economic Review panel VECM stock index macroeconomic variables |
| title | LONG-RUN AND SHORT-RUN CAUSALITY BETWEEN STOCK PRICE INDICES AND MACROECONOMIC VARIABLES: EVIDENCE OF PANEL VECM ANALYSIS FROM BOSNIA AND HERZEGOVINA, CROATIA, NORTH MACEDONIA AND SERBIA |
| title_full | LONG-RUN AND SHORT-RUN CAUSALITY BETWEEN STOCK PRICE INDICES AND MACROECONOMIC VARIABLES: EVIDENCE OF PANEL VECM ANALYSIS FROM BOSNIA AND HERZEGOVINA, CROATIA, NORTH MACEDONIA AND SERBIA |
| title_fullStr | LONG-RUN AND SHORT-RUN CAUSALITY BETWEEN STOCK PRICE INDICES AND MACROECONOMIC VARIABLES: EVIDENCE OF PANEL VECM ANALYSIS FROM BOSNIA AND HERZEGOVINA, CROATIA, NORTH MACEDONIA AND SERBIA |
| title_full_unstemmed | LONG-RUN AND SHORT-RUN CAUSALITY BETWEEN STOCK PRICE INDICES AND MACROECONOMIC VARIABLES: EVIDENCE OF PANEL VECM ANALYSIS FROM BOSNIA AND HERZEGOVINA, CROATIA, NORTH MACEDONIA AND SERBIA |
| title_short | LONG-RUN AND SHORT-RUN CAUSALITY BETWEEN STOCK PRICE INDICES AND MACROECONOMIC VARIABLES: EVIDENCE OF PANEL VECM ANALYSIS FROM BOSNIA AND HERZEGOVINA, CROATIA, NORTH MACEDONIA AND SERBIA |
| title_sort | long run and short run causality between stock price indices and macroeconomic variables evidence of panel vecm analysis from bosnia and herzegovina croatia north macedonia and serbia |
| topic | panel VECM stock index macroeconomic variables |
| url | https://www.er.ef.untz.ba/index.php/er/article/view/37 |
| work_keys_str_mv | AT goranmojanoski longrunandshortruncausalitybetweenstockpriceindicesandmacroeconomicvariablesevidenceofpanelvecmanalysisfrombosniaandherzegovinacroatianorthmacedoniaandserbia |