What macroeconomic variables drive the stock returns of Austrian financial institutions?

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dc.contributor.author Ligocká, Marie
dc.contributor.author Stavárek, Daniel
dc.date.accessioned 2018-04-16T08:04:32Z
dc.date.available 2018-04-16T08:04:32Z
dc.date.issued 2018
dc.identifier.issn 1211-555X (Print)
dc.identifier.issn 1804-8048 (Online)
dc.identifier.uri https://hdl.handle.net/10195/70517
dc.description.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. en
dc.language.iso en cze
dc.publisher Univerzita Pardubice cze
dc.relation.ispartof Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 42/2018 en
dc.rights open access en
dc.subject financial sector en
dc.subject macroeconomic variables en
dc.subject Austria en
dc.subject cointegration en
dc.subject global financial crisis. en
dc.title What macroeconomic variables drive the stock returns of Austrian financial institutions? en
dc.type Article en
dc.peerreviewed yes en
dc.publicationstatus published en
dc.subject.jel G01
dc.subject.jel O52
dc.subject.jel F41
dc.subject.jel E000
dc.subject.jel C58

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