Title Baltijos šalių ekonomikos ir NASDAQ OMX Baltic indekso cikliškumų sąsajos /
Translation of Title Relationship between NASDAQ OMX Baltic index and economic cycles in Baltic states.
Authors Matulevič, Robert
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Pages 67
Keywords [eng] time series ; macroeconomic variables ; stock market ; causality
Abstract [eng] The importance of the topic on the relationship between stock market cycle and economic cycle is undiminished. On the country level the ability to predict both stock market and economic cycles can assist policymakers with minimising the potential impact of crises. There has been a large number of studies regarding business cycles or stock market volatilities, although there are few studies on stock market cycle and few case studies regarding Baltic market. The goal of the research is to identify possible relationships between economic cycle and "NASDAQ OMX Baltic" stock market cycle, stock market return, stock market volatility. Analysis of previous empirical studies in the first part of the research reaveals that there are no strict rules whether a business cycle is affected by stock market cycle or vice versa. Literature review regarding most common empirical research proves that there are different tools for approximation of a cycle component. Hodrick – Prescott is used in the study to extract a cyclical component from Gross Domestic Product or Industrial Production Index. The empirical research is carried out for the period 2000–2020. The methodology of the research is described in second part of the study. In order to detect a relationship between the variables, VAR methodology is used in TYDL Causality. Aside from TYDL causality, panel causality test developed by Hurlin Dumitrescu is used. The results of the study are presented in the third part. The results show that in panel model most of the relationships are bidirectional. For each country the causality between economic cycle measured by GDP or IP and "NASDAQ OMX Baltic" returns exists in at least unidirectional form where stock returns are caused by economic cycle. "NASDAQ OMX Baltic" cycle causes economic cycle and it holds for each Country used in the study. Although the results regarding stock market volatility and economic cycle vary across researched countries.
Dissertation Institution Kauno technologijos universitetas.
Type Master thesis
Language Lithuanian
Publication date 2022