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The Impact Of Macroeconomic Indicators On The Movement Of Crobex

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  • Tomić, Bojan

Abstract

Many research showed a high degree of correlation between the US and European capital markets, partly due to industrial‒financial linkages of the United States and Europe, and partly due to the influence of psychological factors on the behavior of individuals, and the concept of behavioral finance. However, it can be assumed that the movement of the value of an observed index does not depend solely on the change of values of the S & P 500 index. Accordingly and in line with rational economic theory, this paper examines the link between changes in the value of selected macroeconomic indicators and the value of the main share Croatian capital market index CROBEX. The results indicate that of the nine initially observed variables, movement of CROBEX can be described and further explained by changes in the value of average wages, parity rate and dollar, the kuna and the euro and the kuna and the Swiss franc.

Suggested Citation

  • Tomić, Bojan, 2015. "The Impact Of Macroeconomic Indicators On The Movement Of Crobex," MPRA Paper 68324, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:68324
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    More about this item

    Keywords

    CROBEX; value trends; macroeconomic indicator; linear regression; logistic regression;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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