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Stock market, economic growth and EU accession: evidence from three CEECs

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  • Guglielmo Maria Caporale
  • Nicola Spagnolo

Abstract

This paper estimates a bivariate VAR-GARCH (1,1) model to examine linkages between the stock market and economic growth in three CEEC countries (the Czech Republic, Hungary and Poland). The empirical findings suggest that there is unidirectional causality running from stock markets to growth in the levels; this linkage becoming stronger following EU accession, which appears to have been beneficial, presumably as a catalyst for institutional building and development. The same holds in most cases for volatility spillovers as well. In addition, Germany is confirmed to act as a locomotive for these countries, and a tight monetary policy is found to affect both economic and stock market growth adversely.

Suggested Citation

  • Guglielmo Maria Caporale & Nicola Spagnolo, 2012. "Stock market, economic growth and EU accession: evidence from three CEECs," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 5(2), pages 183-191.
    • Handle: RePEc:ids:ijmefi:v:5:y:2012:i:2:p:183-191
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    Citations

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    Cited by:

    1. Prats Albentosa, María Asuncíon & Sandoval, Beatriz, 2020. "Does stock market capitalization cause GDP? A causality study for Central and Eastern European countries?," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 14, pages 1-29.
    2. Irina A. Morozova & Elena G. Popkova & Tatiana N. Litvinova, 2019. "Sustainable development of global entrepreneurship: infrastructure and perspectives," International Entrepreneurship and Management Journal, Springer, vol. 15(2), pages 589-597, June.
    3. Natalia G. Vovchenko & Olga B. Ivanova & Elena D. Kostoglodova & Marina O. Otrishko & Olga S. Dzhu, 2016. "Innovations and Fighting Global Economic Problems," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(4), December.
    4. Ijaz Ur Rehman & Nurul Shahnaz Mahdzan & Rozaimah Zainudin, 2016. "Is the relationship between macroeconomy and stock market liquidity mutually reinforcing? Evidence from an emerging market," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(3), pages 294-316.
    5. Svetlana G. Vokina & Yulia S. Zima & Nikolai G. Sinyavsky & Vadim Meshkov & Aleksandra V. Sultanova, 2016. "Unification of Economic Systems in the Global Economy: Barriers and Preconditions," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 10(4), December.

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