Open AccessThe impact of sectoral economy indicators on the stock market in the Baltic countries
Author(s) -
Римантас Рудзкис,
Roma Valkavičienė
Publication year - 2014
Publication title -
lietuvos matematikos rinkinys
Language(s) - English
Resource type - Journals
eISSN - 2335-898X
pISSN - 0132-2818
DOI - 10.15388/lmr.a.2014.11
Subject(s) - economics , econometrics , index (typography) , predictive power , sectoral analysis , stock market , econometric model , regression analysis , stock (firearms) , benchmark (surveying) , macroeconomics , economy , statistics , geography , computer science , philosophy , context (archaeology) , mathematics , archaeology , epistemology , world wide web , geodesy
The article examines the dependencies of individual sectoral stock price in- dices of OMX Baltic security market on sectoral indicators of Lithuania economy, using econometric methods. Regression models are constructed using quarterly time series of 2005-2013 years. VAR models obtained in the (3) paper have been extended to verify if the inclusion of sectoral economy indicators improves the ability to provide a higher level of accuracy in estimating the growth of sectoral price index. These indicators significantly improve the predictive power compared with the benchmark VAR model. The short-term forecasts of the investigated models are obtained. Econometric analysis of OMX Baltic se- curity market proves the hypothesis that the set of sectoral regressors may vary considerably depending on the individual sector's price indices.