Inspekcija uticaja makroekonomskih faktora na povrat akcija - slučaj Srbije

Abstract

In many developed economies, a stable financial market is the basis for the growth and development of a country's well-being. The movement of stock prices is, in many ways, a reflection of the development of the largest companies in a country. In this paper, we deal with the analysis of the impact of macroeconomic indicators such as inflation, interest rates, and exchange rates on stock prices on the stock market. The goal of the paper is a deeper understanding of how the movements of macroeconomic indicators affect the movement of stock prices and, at the same time, the economic growth of the largest companies. The analysis used monthly data on changes in inflation, interest rates, and exchange rates, together with the prices of shares of companies listed on the Belgrade Stock Exchange (BelexLine index) for the period from 2015 to 2021. The index itself contains a sample of 29 companies. The findings indicate the existence of a unidirectional relationship between interest rate changes and stock prices, and a bidirectional relationship between stock price changes and changes in inflation and interest rates. In addition to these two tests, the authors graphically show the impulse response of indicators as well as the decomposition of data variation, which indicates that the changes in stock price are explained mostly by the variance in the stock price itself. The results also indicate that the primary change of the BelexLine index to itself is positive, while in other periods there is a negative reaction, but at the end of the period, there is stabilization after the original occurrence of the shock.