the stock market and real econonic activity教程.pdfVIP

6 EastErn EuropEan Economics Eastern European Economics, vol. 49, no. 4, July–August 2011, pp. 6–23. © 2011 M.E. Sharpe, Inc. All rights reserved. ISSN 0012–8775/2011 $9.50 + 0.00. DOI 10.2753/EEE0012-8775490401 Štefan Lyócsa, eduard BaumöhL, and tomአVýrost The Stock Markets and Real Economic Activity New Evidence from CEE AbStrACt: the goal of this paper is to provide new evidence on the bidirectional relationships between economic activity indicators and stock market returns in four central and Eastern European (cEE) countries: po- land, the czech republic, Hungary, and slovakia. using the single equation error correction model (sEEcm) framework of cointegration analysis, the Engle–Granger two-step procedure, single-equation Granger causality tests, and the toda–Yamamoto (1995) approach, this paper presents results for the czech republic, poland, and Hungary that are generally in accordance with the present value theory of stock prices. thus, the stock market indexes for these countries are leading indicators of the state of the real economy. However, as explained here, the results for Hungary must be interpreted with greater caution. in addition, as was expected, the results for slovakia were very different from those of the other countries. Since Fama (1990) and Schwert (1990), research into the relationships between markets and economies has been concentrated on cointegration (e.g., Samitas and Kenourgios 2007; Syriopoulos 2004) and Granger causality tests. Our aim is to Štefan Lyócsa is an assistant professor at the University of Economics in bratislava, Faculty of business Economics in Košice, Department of business Informatics and Mathematics. Eduard baumöhlis an assistant professor at the University of Economics in bratislava, Faculty of business Economics in Košice, Department of Economics. tomáš Výrost is an as