Abstract
The 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.
Highlights
The stock market is an essential part of the financial market that helps to redistribute financial resources among different economic subjects efficiently
The paper concludes that the above mentioned assumption that the same economic indicators differently affect stock price indices of the individual economic sectors is confirmed by performed econometric analysis of OMX Baltic security market. The models make it possible to quantify the impact of the Baltic macroeconomic and selected global economic indicators on individual OMX Baltic securities market sectoral stock price indices. It provides additional opportunities for investors who are shaping their portfolio taking into account the macroeconomic forecasts
Statistical stock indices were selected as characteristic features of the stock market state and its alteration tendencies, and macroeconomic indicators were treated as statistical indicators used for the assessment of the general economic condition of a country in a certain time period
Summary
The stock market is an essential part of the financial market that helps to redistribute financial resources among different economic subjects efficiently. Stock prices are a subject of frequent fluctuations on the market, and both measurable quantitative (microeconomic, macroeconomic, exchange indicators of foreign countries, etc.) and ungrounded qualitative (social, psychological, political and others) factors determine their volatility. Various researches address this issue (Pyeman, Ahmad 2009; Ratneswary, Rasiah 2010; Filis 2010; Panetta 2002; Pilinkus 2010; Laskienė, Pekarskienė 2007; Humpe, Macmillan 2009; Wang, Lim 2010; Ibrahim 2011; Hosseini et al 2011; Maysami et al 2004; Buyuksalvarci 2010; and others).
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