Stock market informational efficiency in Germany: granger causality between dax and selected macroeconomic indicators  

Oleh:

Plíhal, Tomáš

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: Procedia - Social and Behavioral Sciences vol. 220 (May 2016), page 1-9.
Topik: Germany; macroeconomic indicators; stock market; Granger causality; cointegration
Fulltext: Procedia v220 Page 321.pdf (150.91KB)

Isi artikel

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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