xmlui.ArtifactBrowser.SimpleSearch.filter.source:Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 42/2018
ISSN:1211-555X (Print)
Abstract:
The stock prices of companies are influenced by many variables; the
predominant ones are macroeconomic factors. The objective of this paper is to analyze
the existence of a relationship between select macroeconomic variables and the stock
returns of financial sector companies listed on the Vienna Stock Exchange. The
institutions that were chosen are CA Immobilien Anlagen, Erste Group Bank AG,
Immofinanz AG, Raiffeisen Bank International AG, Uniqa Insurance Group AG and
Vienna Insurance Group AG. The focus is on Austria due to the lack of empirical
literature on stock prices, stock returns and the indicators that influence them. A time
series with a quarterly frequency is used to examine the occurrence of long term and
short-term relationship links using the Johansen cointegration test and the Vector
Error Correction Model (VECM). The empirical estimates are calculated for the 2005
– 2015 period, which includes the global financial crisis. Our main finding is that the
macroeconomic factors used have a primarily negative impact on the stock returns of
the select institutions.