Ryšys tarp Lietuvos įmonių akcijų kainos ir makroekonominių veiksnių

LTRyšys tarp vertybinių popierių kainų ir makroekonominių veiksnių yra abipusis ir pasaulyje jau seniai plačiai analizuojamas. Šiame straipsnyje pateikiami empirinio tyrimo, atskleidžiančio kaip pagrindiniai ekonominiai rodikliai siejasi su Lietuvos įmonių akcijų kainomis, rezultatai. Tyrime panaudoti Lietuvos OMXV indekso statistiniai ketvirčių duomenys. Šis indeksas rodo bendrą akcijų, kotiruojamų Vilniaus vertybinių popierių biržoje, rinkos kainų lygį ir dinamiką. Jo pokyčiams didelę įtaką turi didžiausios Lietuvos įmonės, todėl OMXV indekso dinamika pakankamai gerai atspindi bendrą šalies ekonominę būklę. Tyrimas remiasi ir Lietuvos pagrindinių makroekonominių rodiklių (BVP, vartojimo, gamintojo bei statybos kainų indekso, nedarbo lygio, rinkos palūkanų normos, pinigų kiekio P2, vyriausybės vertybinių popierių palūkanų normos ir valiutos kurso tarp JAV dolerio bei lito) statistiniais duomenimis. Kaip makroekonominiai veiksniai veikia akcijų indekso dinamiką tyrinėta vienmatės ir daugiamatės regresinės analizės metodais. [Iš leidinio]Reikšminiai žodžiai: Vertybiniai popieriai; Vertybinių popierių rinka; Akcijų kainos; Akcijų indeksai; Vilniaus vertybinių popierių birža; Securities; Securities market; Shares price; Shares index; Vilnius Stock Exchange.

ENSecurities are inseparable part of market economy, as they form conditions for financial resources distribution among separate economical subjects: government, business enterprise and household. Securities help governments and enterprises to provide monetary actives, whereas households and other economical subjects have ability to invest their savings to those economical spheres, which seems to be reliable and attractive profitably. Securities market development relation to country's economical growth is mutual: together with an improving economical situation, securities market becomes more active. Furthermore, while securities market develops, country's economical growth accelerates. Moreover, from the financial market we can judge the country's economical condition. Conversely, increasing stock prices is a possible evidence of economical growth. Because changes of stock prices reflect volatile economical situation, it is important to determine and assess the link between securities price and country's primary macroeconomic factors. Dependence between share rates and macroeconomic indexes are analyzed globally both by academic layers, and by practicians. When investigating this dependence, up to now greatest securities markets received the biggest attention: USA, Great Britain, Japan, Italy and so on. In growing stock markets, like Lithuanian one, such researches are insufficient. Lack of research determines that it is not only important to estimate existing relation between separate macro economical indexes and stock prices in some period, but also the stability of the connection in respect of time and changing economical indicators.The aim of this article is - to determine and evaluate the relation between Lithuanian enterprises' stock rates and economical indicators, and herewith to supplement already existing researches about securities prices dependence on macro economical factors. In this research Lithuanian OMXV index statistical data from quarters of 2000 - 2006 were used. This index indicates general stocks, which are quoting in securities exchange of Vilnius, market prices standards and dynamics. Largest Lithuanian enterprises have great influence on its variations, so we assume, that dynamics of OMXV index are reflecting the overall country's economical situation quite reasonably. Research is based on statistical data of Lithuania's general macro economical indicators (GDP; consumer price, producer price and building price indexes; level of unemployment; market interest rate; money supply (P2); government securities interest rate and exchange rate (USD/LTL). How macro economical factors influence dynamics of stock index, were studied by using correlation - regressive analysis method. It was designated, that there is a strong direct dependence between OMVX and real gross domestic product and P2 money amount, average dependence from construction price index; strong inverse relation between unemployment rate and litas exchange-rate dollar-wise, average strength negatory relation with medium term government securities' interest rate. Final conclusion is that, during the considered period, most of Lithuania's macro economical factors were correlating with shares' prices fairly strong, and it is possible to forecast the direction of that effect. [From the publication]