The impact of sectoral economy indicators on the stock market in the Baltic countries
The article examines the dependencies of individual sectoral stock price indices of OMX Baltic security market on sectoral indicators of Lithuania economy, using econometric methods. Regression models are constructed using quarterly time series of 2005–2013 years. VAR models obtained in the [3] pap...
Main Authors: | , |
---|---|
Format: | Article |
Language: | English |
Published: |
Vilnius University Press
2014-12-01
|
Series: | Lietuvos Matematikos Rinkinys |
Subjects: | |
Online Access: | https://www.journals.vu.lt/LMR/article/view/14913 |
id |
doaj-5ac9ec5f34fa404caaece8ca7744b023 |
---|---|
record_format |
Article |
spelling |
doaj-5ac9ec5f34fa404caaece8ca7744b0232020-11-24T20:57:45ZengVilnius University PressLietuvos Matematikos Rinkinys0132-28182335-898X2014-12-0155A10.15388/LMR.A.2014.11The impact of sectoral economy indicators on the stock market in the Baltic countriesRimantas Rudzkis0Roma Valkavičienė1Vilnius UniversityVilnius Gediminas Technical University The article examines the dependencies of individual sectoral stock price indices of OMX Baltic security market on sectoral indicators of Lithuania economy, using econometric methods. Regression models are constructed using quarterly time series of 2005–2013 years. VAR models obtained in the [3] paper have been extended to verify if the inclusion of sectoral economy indicators improves the ability to provide a higher level of accuracy in estimating the growth of sectoral price index. These indicators significantly improve the predictive power compared with the benchmark VAR model. The short-term forecasts of the investigated models are obtained. Econometric analysis of OMX Baltic security market proves the hypothesis that the set of sectoral regressors may vary considerably depending on the individual sector’s price indices. https://www.journals.vu.lt/LMR/article/view/14913sectoral indices of stock pricesOMX Baltic security marketeconometric analysisvector autoregressive model VAR with exogenous variables |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Rimantas Rudzkis Roma Valkavičienė |
spellingShingle |
Rimantas Rudzkis Roma Valkavičienė The impact of sectoral economy indicators on the stock market in the Baltic countries Lietuvos Matematikos Rinkinys sectoral indices of stock prices OMX Baltic security market econometric analysis vector autoregressive model VAR with exogenous variables |
author_facet |
Rimantas Rudzkis Roma Valkavičienė |
author_sort |
Rimantas Rudzkis |
title |
The impact of sectoral economy indicators on the stock market in the Baltic countries |
title_short |
The impact of sectoral economy indicators on the stock market in the Baltic countries |
title_full |
The impact of sectoral economy indicators on the stock market in the Baltic countries |
title_fullStr |
The impact of sectoral economy indicators on the stock market in the Baltic countries |
title_full_unstemmed |
The impact of sectoral economy indicators on the stock market in the Baltic countries |
title_sort |
impact of sectoral economy indicators on the stock market in the baltic countries |
publisher |
Vilnius University Press |
series |
Lietuvos Matematikos Rinkinys |
issn |
0132-2818 2335-898X |
publishDate |
2014-12-01 |
description |
The article examines the dependencies of individual sectoral stock price indices of OMX Baltic security market on sectoral indicators of Lithuania economy, using econometric methods. Regression models are constructed using quarterly time series of 2005–2013 years. VAR models obtained in the [3] paper have been extended to verify if the inclusion of sectoral economy indicators improves the ability to provide a higher level of accuracy in estimating the growth of sectoral price index. These indicators significantly improve the predictive power compared with the benchmark VAR model. The short-term forecasts of the investigated models are obtained. Econometric analysis of OMX Baltic security market proves the hypothesis that the set of sectoral regressors may vary considerably
depending on the individual sector’s price indices.
|
topic |
sectoral indices of stock prices OMX Baltic security market econometric analysis vector autoregressive model VAR with exogenous variables |
url |
https://www.journals.vu.lt/LMR/article/view/14913 |
work_keys_str_mv |
AT rimantasrudzkis theimpactofsectoraleconomyindicatorsonthestockmarketinthebalticcountries AT romavalkaviciene theimpactofsectoraleconomyindicatorsonthestockmarketinthebalticcountries AT rimantasrudzkis impactofsectoraleconomyindicatorsonthestockmarketinthebalticcountries AT romavalkaviciene impactofsectoraleconomyindicatorsonthestockmarketinthebalticcountries |
_version_ |
1716787619048718336 |