Econometric models of the impact of macroeconomic processes on the stock market in the Baltic countries

LTReikšminiai žodžiai: Akcijų kainų indeksai sektoriuose; Ekonometrinis modeliavimas; Makroekonominiai indikatoriai; Makroekonominiai rodikliai; OMX Baltijos šalių saugumo rinka; Prognozė; Regresija; Econometric modelling; Forecast; Macroeconomic indicators; OMX Baltic security market; Regression; Sectoral indices of stock prices.

ENThe article examines the dependencies of individual sectoral stock price indices of OMX Baltic security market on macroeconomic indicators, using econometric methods. Regression models are constructed using quarterly time series of 2000–2011 years while the methodology is backed with the findings of Lithuanian and foreign scientists from an extensive overview of specific literature. Regression equations, obtained in the paper, allows us to identify the key macroeconomic and global indicators that statistically significantly affect the Baltic securities market and to quantify their impact on the stock price indices of individual sectors in the Baltic countries. Econometric analysis of OMX Baltic security market proves the hypothesis that the set of macroeconomic regressors may vary considerably depending on the individual sector’s price indices, especially in the case of small open economy with immature stock markets. The paper provides investors who are shaping their portfolios taking into account the macroeconomic forecasts with additional opportunities on the basis of sectoral stock price indices regression equations. [From the publication]

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