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The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies

Author

Listed:
  • Marie Ligocká

    (Department of Finance and Accounting, School of Business Administration, Silesian University, Univerzitní nám. 1934/3, 733 40 Karviná, Czech Republic)

  • Tomáš Pražák

    (Department of Finance and Accounting, School of Business Administration, Silesian University, Univerzitní nám. 1934/3, 733 40 Karviná, Czech Republic)

  • Daniel Stavárek

    (Department of Finance and Accounting, School of Business Administration, Silesian University, Univerzitní nám. 1934/3, 733 40 Karviná, Czech Republic)

Abstract

Stock values of companies listed on stock exchanges could be influenced by many factors. The aim of this article is to examine existence and character of relationship between stock prices of selected Swiss real estate companies and macroeconomic fundamentals (GDP, interest rate, price level). The existence of long-run equilibrium relationship between stock prices and macroeconomic fundamentals is tested with the Johansen cointegration. The short run dynamics between the variables is examined by Vector Error Correction modelling and the Granger causality test. During the period 2005-2014 we revealed a long-run equilibrium for five of the six analyzed stocks. We also confirmed that macroeconomic variables and the interest rate in particular, can explain a long-run behavior of stock prices. By contrast, macroeconomic variables are usually short in explanation of short-run dynamics of stock prices. However, the results differ substantially among the stocks and, hence, they prevent us from drawing any general conclusion for the entire real estate sector in Switzerland.

Suggested Citation

  • Marie Ligocká & Tomáš Pražák & Daniel Stavárek, 2016. "The Effect of Macroeconomic Factors on Stock Prices of Swiss Real Estate Companies," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 64(6), pages 2015-2024.
    • Handle: RePEc:mup:actaun:actaun_2016064062015
    DOI: 10.11118/actaun201664062015
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    References listed on IDEAS

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