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Macroeconomic Variables and the Stock Market: the Case of Lithuania

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  • Yu Hsing

Abstract

Applying the EGARCH model, this paper finds that Lithuania's stock market index is positively impacted by real GDP, the M2/GDP ratio, and the stock market indexes in the U.S. and Germany and negatively affected by the ratio of the government deficit to GDP, the LTL/USD exchange rate or depreciation of the litas, the domestic real interest rate, the expected inflation rate, and the euro area government bond yield. Hence, a declining government deficit/GDP ratio, a lower interest rate or more money supply relative to GDP, the appreciation of the litas, a lower foreign interest rate, or a robust world stock market would help the stock market in Lithuania .

Suggested Citation

  • Yu Hsing, 2011. "Macroeconomic Variables and the Stock Market: the Case of Lithuania," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 031-037, June.
    • Handle: RePEc:rfb:journl:v:03:y:2011:i:1:p:031-037
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    2. Tihana Skrinjaric, 2014. "Investment Strategy on the Zagreb Stock Exchange Based on Dynamic DEA," Croatian Economic Survey, The Institute of Economics, Zagreb, vol. 16(1), pages 129-160, April.
    3. Corina Saman, 2015. "Asymmetric Interaction between Stock Price Index and Exchange Rates: Empirical Evidence for Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 90-109, December.
    4. Tomasz Schabek & Bojana Olgiæ Draženoviæ & Davor Mance, 2019. "Reaction of Zagreb Stock Exchange CROBEX Index to macroeconomic announcements within a high frequency time interval," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(2), pages 741-758.
    5. Lóránd István KRÁLIK, 2012. "Macroeconomic Variables and Stock Market Evolution," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 60(2), pages 197-203, May.
    6. Tihana ŠKRINJARIĆ & Lidija DEDI & Boško ŠEGO, 2021. "Return and Volatility Spillover between Stock Prices and Exchange Rates in Croatia: A Spillover Methodology Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 93-108, December.

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