Research Journal of Finance and Accounting
Polish Stock Market Performance and Its Relationships with Macroeconomic Variables
Abstract
This study is the first attempt to apply the VAR model to analyze the impact of macroeconomic variables on Polish stock market performance measured as stock market indexes. It examines short-run and long-run relationships between selected macroeconomic variables, meaning gross domestic product, money supply, consumer price index proxy for inflation and exchange rate (PLN per USD), and stock prices represented by WIG20 and its 3 separate sectors: banking, fuel and real-estate markets WIG banks, WIG fuels, and WIG real-estate.
Keywords: Stock Prices, Macroeconomic Variables, Cointegration, VAR model, VECM model, Polish stock market.
DOI: 10.7176/RJFA/13-14-07
Publication date:August 31st 2022
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ISSN (Paper)2222-1697 ISSN (Online)2222-2847
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