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...

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Main Authors: Rimantas Rudzkis, Roma Valkavičienė
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
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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
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