Economic variables and stock market returns: evidence from the Athens stock exchange
Economic variables and stock market returns: evidence from the Athens stock exchange
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经济变量和股市回报：来自雅典证券交易所的证据
DOI：
10.1080/09603100500426523
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发表时间：
2006
期刊：
影响因子：
--
通讯作者：
Sunil S. Poshakwale
中科院分区：
文献类型：
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作者：
Theophano Patra;Sunil S. Poshakwale
本研究考察了1990-1999年期间希腊新兴股票市场的短期动态调整以及选定的宏观经济变量、成交量和股票收益之间的长期均衡关系。实证结果表明，通货膨胀、货币供应量和交易量与雅典证券交易所的股票价格之间存在短期和长期均衡关系。汇率与股价之间不存在短期或长期均衡关系。这项研究的结果与希腊股市在样本期间发生的理论论证和实践发展是一致的。结果还表明，ASE在信息上是无效的，因为关于宏观经济变量和交易量的公开信息可能被用来预测股票价格。
This research examines the short run dynamic adjustments and the long run equilibrium relationships between selected macroeconomic variables, trading volume and stock returns in the emerging Greek stock market during the period 1990 to 1999. Empirical results show that short run and long run equilibrium relationship exists between inflation, money supply and trading volume and the stock prices in the Athens stock exchange. No short run or long run equilibrium relationship is found between the exchange rates and stock prices. The results of this research are consistent with the theoretical arguments and practical developments that occurred in the Greek stock markets during the sample period. The results also imply that the ASE is informationally inefficient because publicly available information on macroeconomic variables and trading volumes can be potentially used in predicting stock prices.