Stock market informational efficiency in Germany: Granger causality between DAX and selected macroeconomic indicators

Authors

PLÍHAL Tomáš

Year of publication 2016
Type Article in Periodical
Magazine / Source Procedia - Social and Behavioral Sciences
MU Faculty or unit

Faculty of Economics and Administration

Citation
Doi http://dx.doi.org/10.1016/j.sbspro.2016.05.505
Field Economy
Keywords Germany; macroeconomic indicators ;stock market ;Granger causality; cointegration.
Description This study analyzes relationship between macroeconomic indicators and stock market in Germany. Aim of this paper is to answer the question how stock market reflects economic conditions and if stock market is informational efficient. Toda-Yamamoto (1995) approach is used for testing Granger causality. Bivariate analysis is performed on monthly data from January 1999 to September 2015, and six macroeconomic indicators are examined: industrial production, inflation, money supply, interest rate, trade balance and exchange rate. Analysis applies unit root tests, testing for cointegration using the Johansen methodology and Wald test for linear restriction to check Granger causality.
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