138 2020, XXIII, 3
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DOI: 10.15240/ ul/001/2020-3-009
impaC oF s oCK ma Ke s
on he eConomy in he 4 Coun ies
Radmila K koško á1
1 Silesian Uni e si y in Opa a, School o Business Adminis a ion in Ka iná, Depa men o In o ma ics
and Ma hema ics, ORCID: 0000-0002-4977-0060, [email p o ec ed].
Abs ac : The pe o mance o he economy should gene ally e lec he pe o mance o s ock
ma ke s. P oduc ion inc eases, p ices ise, and companies’ p o i s inc ease i he economy g ows.
And he sha es should na u ally make he p o i s (which means among o he hings, highe
di idends) e en mo e a ac i e. Bu is ha eally ue? The aim o he a icle is o ind ou he
ela ionship be ween he de elopmen o s ock ma ke s and he economic g ow h in Viseg ad G oup
coun ies (V4). The subjec o he su ey is bo h he long- e m ela ionship and he sho - e m
ela ionship in he cou se o economic cycles. The a icle uses he ools o ime se ies econome ics,
especially VECMs, including co esponding diagnos ics, G ange causali y and block e ogenei y.
The ela ionships be ween he a iables examined a y om coun y o coun y. The long- e m
ela ionship be ween he de elopmen o s ock ma ke s and he economic g ow h was con i med
in Slo akia and Hunga y. I was con i med ha he GDP g ow h a e in luenced he g ow h a e o
s ock indices in all V4 coun ies. The opposi e ela ionship ( he s ock index g ow h a e in luences
he GDP g ow h a e) was no con i med only in he Czech Republic. Qua e ly da a o he pe iod
om 2005/Q1 o 2018/Q4 was used o he analysis. This pe iod was selec ed because all o he
V4 coun ies ha e been membe s o he Eu opean Union since 2004. The EViews so wa e e sion
9 was used o he calcula ions. Va iables used in his esea ch a e: he GDP, he s ock exchange
index o he coun y and s ock ading olume. The PX, SAX, BUX and WIG20 s ock indices a e
conside ed o be he c ucial ep esen a i es o indi idual s ock ma ke s in his wo k.
Keywo ds: ADF es o s a iona i y, G ange causali y, impulse- esponse analysis, s ock ma ke ,
VECM, V4.
JEL Classi ica ion: C19, C50, D53.
APA S yle Ci a ion: K koško á, R. (2020). Impac o S ock Ma ke s on he Economy in V4
Coun ies. E&M Economics and Managemen , 23(3), 138–154. h ps://doi.o g/10.15240/
ul/001/2020-3-009
in oduc ion
The objec i es and common in e es s o he
V4 coun ies we e desc ibed in he Viseg ad
Decla a ion (1991). One o he objec i es
was o c ea e a o able condi ions o di ec
coope a ion be ween en e p ises, o o eign
capi al in es men , o he de elopmen o
inancial and s ock ma ke s. And his is he
eason why he coun ies o V4 we e selec ed
o he analysis. The pape could con i m he
ela ionship be ween he de elopmen o s ock
ma ke s and he economic g ow h in he V4.
Following he admission o he V4 coun ies o
he Eu opean Union in 2004, Viseg ad Fou ’s
o eign-policy ac i i ies inc eased signi ican ly
and he g oup ocused on p omo ing coope a ion
and s abili y in he wide Cen al Eu opean
egion. The a icle deal wi h he e ec s o he
s ock ma ke on he economy in indi idual
coun ies and discusses he ela ionship
be ween he GDP, he s ock ading olume and
he index a e. The goal o his pape is o ind i
exis s he long- e m ela ionship and he sho -
e m ela ionship be ween a iables. Why is he
mu ual dependence o he GDP and income
om sha es di e en in he V4 coun ies?
The ela ion be ween mac oeconomic
a iables and he mo emen o s ock p ices
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has been documen ed well in he li e a u e
o e he las se e al decades. I is o en a gued
ha s ock p ices a e de e mined by some
undamen al mac oeconomic a iables. This
wo k is based on he ac ha s ock quo es
espond o e en s ha a ec he equi y and
economic ma ke s be o e GDP. The long- e m
ela ionship be ween he de elopmen o s ock
ma ke s and he economic g ow h was no
con i med in all coun ies.
This a icle is di ided in o i e pa s. The
in oduc ion explains why he V4 coun ies
we e selec ed o he analysis. The i s chap e
con ains a e iew o li e a u e. The second pa
desc ibes he econome ic me hods used. The
hi d pa desc ibes he economic de elopmen
and de elopmen o indi idual he V4 ma ke s
in he pe iod om 2005 o 2018. The co e o
his a icle is he ou h chap e dealing wi h
modelling o each coun y which is pe o med
he e sepa a ely. The esul s o he wo k a e
p esen ed in he conclusion.
1. li e a u e e iew
Mos au ho s cu en ly belie e ha inancial
ma ke s posi i ely con ibu e o he economic
g ow h as discussed in he wo k by, o example,
Bekae and Ha ey (1998) o inancial ma ke s.
The e a e di e en iews o A es is,
Deme iades and Luin el (2001) and o he s.
Acco ding o hem, he economic g ow h a e
can be main ained wi hou he exis ence o
echnological de elopmen , mainly due o
he in luence and he impo ance o inancial
ma ke s o he economic g ow h. Bekae and
Ha ey (1998) a e o he opinion ha au ho s
who asse ha he exis ence o s ock ma ke s
is o li le impo ance o eal economic g ow h,
o ge he se e al oles ha equi y ma ke s hold.
One o hese oles is he abili y o di e si y.
Olweny and Kimani (2011), Wanzala, Mu u i
and Olweny (2017) a ach impo ance o s ock
ma ke s in combina ion wi h he economic
g ow h because hey enable co po a ions and
go e nmen s o accumula e long- e m capi al
and hence und new p ojec s.
A es is, Deme iades and Luin el (2001)
show in hei empi ical analysis ha s ock
ma ke s can con ibu e o he long- e m
economic g ow h, bu hei impac is only pa
o he in luence o he banking sys em. The
au ho s examined qua e ly ime se ies om
1968 o 1998 in he ully de eloped economies
o he ollowing coun ies: he USA, he Uni ed
Kingdom, F ance, Ge many, and Japan. The
esul s di e ed o each coun y.
In hei a icles, Capo ale, Howells and Soliman
(2004), D i saki and Ba gio a (2004) deal wi h
he causal ela ionship be ween s ock and c edi
ma ke s and economic de elopmen s in he G eek
economy. They use he VAR model o mon hly
da a om 1988 o 2002, along wi h he G ange
causali y es s and he Johansen coin eg a ion es .
The esul s show ha he e is one coin eg a ed
ec o among he a iables examined.
Capo ale, Howells and Soliman (2004)
use he VAR model o s udy he ela ionships
be ween s ock ma ke s, in es men and he
economic g ow h o se en selec ed coun ies:
A gen ina, Chile, G eece, Ko ea, Malaysia,
Philippines and Po ugal, wi h qua e ly da a
om 1977 o 1998. The aim o he wo k was o
ind ou whe he ea lie wo ks no including he
s ock ma ke had misleading esul s.
Ndako (2010) examines he ela ionship
be ween equi y ma ke s, banks and economic
g ow h wi h he VECM model on he qua e ly
ime se ies om 1983 o 2007 o Sou h A ica.
His esul s indica e he p esence o bi-di ec ional
causali y and he impo ance o he ole o
inancial sec o in he Sou h A ican economy.
Vazikidis and Adamopoulos (2009) use he
VECM model o analyse he economy o F ance
in he 1965–2007 pe iod. They a e p ima ily
conce ned wi h he ques ion whe he s ock
ma ke de elopmen causes he economic
g ow h o ice e sa.
The pape by Mega a alli, Sampagna o
and Mu ay (2018) emphasizes he impac o
mac oeconomic a iables on he s ock ma ke
pe o mance o a de eloping economy (India
and China) and a de eloped economy (Japan).
In he sho un, he e is no s a is ically signi ican
ela ionship be ween mac oeconomic a iables
and s ock ma ke s. E dem and A slan (2005)
s udy e ec s o mac oeconomic a iables
on Is anbul s ock exchange indexes and
Pal and Mi al (2011) deal wi h he impac o
mac oeconomic indica o s on Indian capi al
ma ke s. Hsing and Hsieh (2012) deal wi h
impac s o mac oeconomic a iables on he
s ock ma ke index in Poland. Ho, Odhiambo
and Millan (2018) analyse he mac oeconomic
d i e s o s ock ma ke de elopmen in
he Philippines, Pilinkus (2010) e alua es
mac oeconomic indica o s and hei impac
on s ock ma ke pe o mance in he sho and
long un in he case o he Bal ic coun ies.
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Ma ques e al. (2013) analyse his ela ionship
in he case o Po ugal. Che i and Gazda
(2010) explo e he ins i u ional de e minan s
o inancial de elopmen in he coun ies o he
Middle Eas and No h A ican egion.
O he a icles dealing wi h V4 issues
a e, o example, he ollowing. Růčko á
(2015) e alua es whe he he e is a unc ional
dependency be ween he used inancial
sou ces and he epo ed a e o e u n on
equi y. The ela ionship be ween he eal g oss
domes ic p oduc and he unemploymen a e
du ing he economic c isis in he coun ies o
V4 is analysed in he pape T doň (2016). The
s ock ma ke in eg a ion o V4 and G7 coun ies
is examined in he pape Baumöl (2014). The
esea ch showed ha du ing he ecen inancial
c isis, condi ional co ela ions be ween he
s a es o V4 ha e inc eased mo e signi ican ly
han a e he en y o he s a es o V4 in o he
Eu opean Union. The pape by Nežinský and
Baláž (2016) examines he p edic i e powe
o he con idence indica o s o de elopmen s
bin indus ial ou pu , p oduce p ices and
employmen in he V4 coun ies. The G ange
Causali y es s a e used o es ablishing
po en ial causa ion be ween he con idence
indica o s and eal economic da a.
I is no always ue ha he s ock ma ke
e lec s he ue s a e o he economy. While i
is expec ed ha he s ock ma ke s should all
in imes o ecession, hey can g ow as well.
The e a e se e al easons o i . The s ock
ma ke s do no ake in o accoun he p esen ,
bu he u u e. This was also demons a ed
by he la es inancial c isis, which appea ed
o happen a bi ea lie in he s ock ma ke s in
he USA han in he eal economy. Howe e ,
his does no apply o he V4 coun ies whe e
he e is a demons able co ela ion be ween
he pe o mance o he economy and he
pe o mance o s ock ma ke s. Du ing he
c isis in he V4 coun ies, bo h he pe o mance
o he economy and he pe o mance o he
s ock ma ke s declined. S ock ma ke s can
only di e om he eal economy o a limi ed
ime. Fo example, Poland’s economy (as he
only coun y in he Eu opean Union) was no
in ecession du ing he c isis yea s. The g ow h
o Slo akia’s economy du ing he boom pe iod
is also wo h a en ion. Mo eo e , he Slo ak
economy e u ned o a g ow h end a e he
c isis. On he o he hand, he economy o
Hunga y and he Czech Republic s agna ed
om 2008 o 2014. The cu en s a e o he
GDP de elopmen shows ha all economies
ha e been able o es o e he g ow h end.
2. me hod
2.1 a / eCm model
The Vec o Au o eg essi e Model (VAR) and
he Vec o E o Co ec ion Model (VECM)
make i possible o exp ess and analyse
a simul aneous ela ion be ween he a iables.
A l (1999) s a es ha VAR analysis is based on
he idea ha all he a iables used o analyse
a selec ed dependency a e andom and
simul aneously dependen . This means ha
he model s uc u e con ains only endogenous
a iables (excep he de e minis ic componen s
o he model), wi h hei maximum delay ime
being he same (Juselius, 2006).
Time se ies can be analysed based on hei
sho - e m and long- e m ela ions. I he e is
only a sho - e m ela ion be ween he ime
se ies, he VAR model is a su icien ool o
analysing his ela ion. I a long- e m ela ion
exis s be ween selec ed ime se ies, he VECM
model can be used o he analysis. The VECM
model simul aneously cap u es and exp esses
bo h sho - e m and long- e m ela ions. The
VECM model is based on a coin eg a ion
app oach ha models non-s a iona y ime se ies
he long- e m ela ion o which is exp essed
h ough he e o co ec ion mechanism.
2.2 Coin eg a ion analysis
The coin eg a ion analysis is based on
he in eg a ed p ocesses ha we e i s
comp ehensi ely add essed by Box and
Jenkins. The coin eg a ion analysis examines
sho - e m dynamics and long- e m ela ions
be ween a iables. Each sys em is subjec
o cons an shocks, so i does no each
equilib ium in he sho un (Johansen &
Juselius, 1990). Ne e heless, he e may be
a ela ion be ween he ime se ies ha can
be conside ed as equilib ium in he long un.
A l (2003) s a es, ha Engle and G ange
de eloped a simple coin eg a ion es based
on a esidual s a iona i y es . The Engle
and G ange app oach can be desc ibed as
a classic app oach.
2.3 impulse- esponse analysis
Impulse- esponse analysis allows he o bo h
he sho - e m and long- e m ela ions be ween
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he analysed a iables based on he de i ed
model. A l (1999) s a es ha he impulse-
esponse analysis is ela ed o he ques ion o
wha eac ion in one ime se ies will be caused
by an impulse in ano he ime se ies wi hin
a sys em ha con ains mul iple ime se ies. This
is he s udy o he ela ion be ween wo one-
dimensional ime se ies in a mul idimensional
sys em.
3. de elopmen o 4 Coun ies
The Viseg ad G oup is an alliance o ou
Cen al Eu opean coun ies: he Czech
Republic, Slo akia, Poland and Hunga y.
Qua e ly da a o he pe iod om 2005/Q1 o
2018/Q4 was used o he analysis. This pe iod
was selec ed because all o he V4 coun ies
ha e been membe s o he Eu opean Union
since 2004. The global undamen al analysis
examines he impac o he economy and he
ma ke on he alue o he sha e. I uses global
mac oeconomic indica o s such as: in e es
a es, in la ion, he g oss domes ic p oduc ,
money supply, mo emen o in e na ional
capi al, mo emen o o eign exchange a es,
poli ical and economic shocks. This a icle
discusses he ela ionship be ween he GDP,
he s ock ading olume and he index a e.
3.1 Czech epublic
This chap e uses da a om analyzes o he
Czech S a is ical O ice, he Minis y o Indus y
and T ade, he Minis y o Finance o he Czech
Republic and he P ague S ock Exchange
(2018).
Economic De elopmen
The yea 2004 is conside ed as he u ning
poin when he ans o med economy became
a ma ke economy. P e ious e o ms and
he EU accession helped o de elop expo -
o ien ed businesses. This end las ed un il
2008. The end was hal ed only in he las
qua e o 2008, when he global c isis b oke
ou . The economy slowed signi ican ly and
ell in o a deep ecession. G ow h in p i a e
consump ion was nega i e in he hi d qua e
o 2009, as households esponded o ising
unemploymen and a decline in he wage g ow h.
Howe e , compa ed o o he a ec ed coun ies,
he e ec s o he c isis we e no so sky-high, as
he e y inancial c isis causing he ecession
did no excessi ely a ec he economy o he
Czech Republic. The economy’s pe o mance
imp o ed and he eco e y was s onge in
2014, when he Czech Republic’s GDP g ow h
o 2% equalized he decline o he p e ious wo
yea s o mo e he coun y ou o ecession. The
economy has been g owing since hen.
S ock Ma ke
The yea 2004 was he mos success ul yea
o s ock ma ke s in he Czech Republic. The
PX 50 index eached a sha p app ecia ion a
he beginning o 2004 and con inued i s long-
e m g ow h end wi h an o e all yea -on-yea
inc ease o 56.6%. The yea 2005 in e up ed he
g own o he PX 50 index, bu he e was again
he o e all app ecia ion in he cou se o he yea .
This de elopmen co esponded o he si ua ion
on he wo ld inancial ma ke s esponding o
high p ices o ene gy commodi ies, in e es a e
de elopmen s, e c. The index de elopmen in
2006 and 2007 was uns able and i was ma ked
by s ong luc ua ions a ec ed by he si ua ion
in he US s ock ma ke s in 2007, whe e he
e ec s o he mo gage c isis began o appea .
These consequences we e ully e lec ed in
2008, causing he global inancial collapse
which led o he collapse o all s ock indices on
wo ld s ock exchanges. Compa ed o 2007, he
PX 50 index was 53% lowe . The e was a sligh
eco e y in 2009 and he Czech s ock ma ke
s a ed o g ow again. The PX index o he
2014–2015 showed a g owing end in 2016
he highes alue ell PX index o 954 poin s
in 2017 and inc eased o he highes alue o
1,087 poin s (Wikipedia, 2019).
3.2 slo akia
In he ollowing, he de elopmen o he
economy and s ock ma ke in Slo akia will be
p esen ed. The sou ce o in o ma ion is da a
om he OECD, he Slo ak Na ional Bank and
he B a isla a S ock Exchange (2018).
Economic De elopmen
Thanks o Slo akia’s accession o he EU in
2004, he eal GDP g ew by 4% YOY, expo s
inc eased and domes ic demand was s ong.
The g ow h con inued un il 2009. The Slo ak
go e nmen ied o mee he Maas ich
con e gence c i e ia wi h a iew o joining
he Mone a y Union and adop ing he eu o
as a cu ency in 2009. The beginning o 2009
b ough one o he highes eal GDP declines
among he OECD coun ies as a esul o he
inancial c isis and he subsequen decline
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in wo ld ade olumes on which he Slo ak
economy was dependen . The economy began
o eco e ela i ely quickly, and e en su passed
i s p e-c isis eco d by 2013. The GDP g ow h
a e was inc easing in he 2014–2018 pe iod.
S ock Ma ke
A he beginning o he 21s cen u y he
Slo ak s ock ma ke was cha ac e ized by
small olumes and insu icien liquidi y. The e
was a ise in p i a e sha e in es men , bu
di ec ades s ill p e ailed o e s ock ades
in 2004. S ock ading olumes dec eased by
60.6% compa ed o 2003. The SAX index g ew
by 84% in his pe iod. The index de eloped
expe ienced a numbe o luc ua ions in 2007.
The alue inc eased by 7.23%. The e we e
o he la ge declines in s ock ading olumes in
2012 and 2013. The SAX index ell by 10.79%
in 2012, bu i b oke down declining ends
and sligh ly inc eased in 2013. The SAX index
ose by 12.42% in 2014. The SAX index had
a g owing end, and he s ock ading olume
had a declining end.
3.3 hunga y
The da a in he ollowing pa ag aph a e based
on he OECD, he Budapes S ock Exchange
and he Hunga ian S a is ical O ice.
Economic De elopmen
A he u n o he millennium, he Hunga ian
economy was ela i ely s ong and he coun y
was one o he leading candida es o he EU
membe ship. The GDP g ow h a es anged
be ween 4% and 5% in 2005 and 2006. The
b eak h ough occu ed wi h he ad en o he
2006 elec ions when he cen e-le coali ion
was e-elec ed. I s go e nmen announced
a inancial consolida ion plan. The go e nmen
in oduced new iscal measu es and s uc u al
e o ms in he a ea o public spending, which
exe ed p essu e on households, businesses
and he public sec o , and he pace o he GDP
g ow h slowed signi ican ly. Jus be o e he
ou b eak o he c isis in Sep embe 2008, he
Hunga ian economy was able o mee i s iscal
consolida ion a ge s. Hunga y was one o he
coun ies hea ily hi by he 2008 c isis, despi e
o eign aid. Thanks o a la ge amoun o o eign
in es men , many households and companies
go in o deb , jus like he coun y i sel , he
indeb edness o which amoun ed o 120%
o he GDP. Yea -on-yea he GDP g ow h
was nega i e (−6.8%) in 2009. The e was an
imp o emen and he yea -on-yea g ow h was
1.1% in 2010. This end con inued in 2011.
A e he c isis in 2012, Hunga y e u ned o he
g ow h end o he yea -on-yea GDP g ow h.
Imp o emen s we e seen in ising expo s,
inc easing domes ic demand and he domes ic
in es men g ow h. The GDP g ow h a e was
inc easing in he 2014–2018 pe iod.
S ock Ma ke
The Budapes S ock Exchange was one o
he mos liquid in Cen al and Eas e n Eu ope
un il 2000. The u n o he millennium b ough
p oblems o he s ock exchange and he inancial
ma ke s in Hunga y. The BUX index g ew by
19.5% in 2006. The s ock ma ke con inued in
i s posi i e de elopmen un il 2008, when he
Hunga ian economy was hi by he inancial
c isis. This a ec ed he alue o he BUX index,
which dec eased by 53.3%. The s ock ma ke
had g adually begun o eco e since 2009.
The e was a sligh imp o emen , bu he s ock
ma ke was s ill below i s p e-c isis pe o mance
in 2012 and 2013. The e we e u he declines
and he Hunga ian s ock ma ke mo ed away
om he o he s ock ma ke s o he egion in
2014. The si ua ion imp o ed in he 2014–2018
pe iod, and bo h he BUX and he s ock ading
olume showed a g owing end.
3.4 poland
The da a in he ollowing pa ag aph is based on
he OECD, he Wa saw S ock Exchange (2018)
and he Na ional Bank o Poland.
Economic De elopmen
Toge he wi h o he EU coun ies, Poland
joined he EU in 2004. The EU accession was
accompanied by a s ong accele a ion in he GDP
g ow h. I declined o 3.2% in 2005. Howe e ,
he Polish economy eco ded a 6% GDP g ow h
o e he nex wo yea s. Since 2007, he Polish
economy had been he mos powe ul o he
OECD coun ies in he eal GDP g ow h. The
2008 c isis hi Poland less han o he Eu opean
coun ies, hanks o he s abili y o i s inancial
sys em. The GDP g ow h accele a ed in 2010
and 2011, wi h a sha p down u n in 2012 and
2013. The GDP g ow h ell o a yea -on-yea
inc ease o 1.4% in 2013. This de elopmen is
a ibu able o he collapse o public in es men
a e 2012. The GDP g ow h a e was inc easing
in he 2014–2018 pe iod.
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S ock Ma ke
The pe iod a he end o he millennium ma ked
a downwa d end o he WIG index, he
o icial index o he Wa saw S ock Exchange.
2005 was ma ked by e y low in e es a es,
which con ibu ed o he de elopmen o he
s ock ma ke . The s ock ma ke became he
as es g owing segmen o he capi al ma ke
in Poland. The WIG index eached i s peak,
wi h a yea -on-yea inc ease o 33.7%. This
end con inued in 2006 and 2007. I made he
all in 2008 e en wo se, as he de elopmen
was hea ily in luenced by he inancial c isis.
I caused a s ong ou low o capi al om he
s ock ma ke , esul ing in a sha p all in s ock
p ices. The s ock ma ke s a ed o posi i ely
de elop in 2010, when all indica o s g ew. The e
was ano he d op in p ices in 2011 and he
decline con inued in 2012. 2013 was a ou able
o he Polish s ock ma ke , he WIG index ose
by 26.2%. The WIG index and he s ock ading
olume declined in he 2014–2016 pe iod, bu
bo h he WIG index alue and he s ock ading
olume ha e had a g owing end since 2016.
4. ela ionships be ween economic
de elopmen and s ock ma ke s
Qua e ly da a o he pe iod om 2005/Q1
o 2018/Q4 was used o he calcula ions. All
alues we e seasonally adjus ed and we e
conside ed in loga i hmic e ms. The EViews
so wa e e sion 9 was used o he calcula ions.
Va iables used in his esea ch a e: he
GDP, he s ock exchange index o he coun y,
and he s ock ading olume. The GDP
is he a iable ep esen ing he economic
de elopmen o he coun ies s udied. Da a
o he Czech Republic and Slo akia we e
ob ained om he s a is ical o ices, o Hunga y
and Poland om he Eu os a da abase. The
PX, SAX, BUX and WIG20 s ock indices a e
conside ed o be he c ucial ep esen a i es
o indi idual s ock ma ke s in his wo k. The
s ock ma ke is also ep esen ed by he Amoun
T aded (AT) a iable, which ep esen s he
olume o all aded sha es o he gi en pe iod.
Time se ies we e ob ained om he Bloombe g
da abase.
The modelling s uc u e is simila o all he
coun ies s udied and consis s o he ollowing
s eps: es ing he p esence o uni oo s, he
VECM model es ima ion, impulse esponses,
G ange causali y and block exogeni y. The
simila p ocedu e is lis ed by S oklaso a (2018).
The a iables (CR_GDP, CR_PX, CR_AT),
(SR_GDP, SR_SAX, SR_AT), (HU_GDP, HU_
BUX, HU_AT), (PL_GDP, PL_WIG20, PL_AT)
o he VAR model exhibi he p ope ies o i s -
o de non-s a iona i y, i.e. I(1); he e o e, he
long- un coin eg a ion ela ionships may exis
be ween hese a iables. Using he Johansen’s
me hod, as shown in Johansen (1995), he
exis ence o 1 coin eg a ion ela ionship o he
VECM(1) was con i med. The esul is he same
o all s a es o V4.
4.1 Czech epublic
The p epa a o y phase o es ima ing he VAR
model is es ing he s a iona i y o a iables
included in he model o hei i s di e ences.
The es esul s o all a iables a e p o ided in
Tab. 1. The Dickey-Fulle es (ADF) was used
o es he s a iona i y. The las column includes
he esul o es ing: N = non-s a iona y (H0 no
ejec ed), S = s a iona y (H0 ejec ed).
Exis ence o one long- e m bond can be
speci ied by a coin eg a ion equa ion:
EQ_CR = CR_GDP − 0.371CR_PX +
+ 0.465CR_AT (1)
A coin eg a ion ec o exp essing he
equilib ium ela ionship be ween CR_GDP,
CR_PX and CR_AT is (1.000; −0.371; 0.465).
This means ha a 1% inc ease in CR_PX will
cause an inc ease in CR_GDP by 0.371%, and
Va iable n/c/c+ T-s a P- alue Resul Va iable n/c/c+ T-s a P- alue Resul
CR_GDP c+ −1.06 0.925 N D(CR_GDP) c+ −4.88 0.001 S
CR_PX n−0.84 0.343 N D(CR_PX) c+ −4.42 0.005 S
CR_AT c2.31 0.999 N D(CR_AT) c−4.99 0.001 S
Sou ce: own
Tab. 1: Tes ing he uni oo o he a iables in le els and hei i s di e ences
EM_3_2020.indd 143 27.08.2020 13:31:15
144 2020, XXIII, 3
Finance
1% inc ease in CR_AT will cause an dec ease
in CR_GDP by 0.465%. This conclusion is in
line wi h he assump ion, because a posi i e
ela ionship is assumed be ween he a iables
CR_GDP, CR_PX.
The esul s o he VECM(1) es ima e did
no demons a e he s a is ical signi icance o
he GDP co ec ion componen , as shown in
Tab. 2. The model does no su icien ly explain
he con e gence o he long- e m equilib ium
de ined by he coin eg a ion equa ion.
The esidual componen is no co ela ed,
esidual componen he e oscedas ici y and
esidual componen non-no mali y we e no
demons a ed.
Impulse- esponses ace he e ec s o
s uc u al shocks on he endogenous a iables.
Each esponse includes he e ec o a speci ic
shock on one o he a iables o he sys em
a impac , he on +1, and so on. The esul s
a e explained in g aphics on he Fig. 1, which
shows he impulse esponse unc ions. This
a icle deals wi h he esponse o he GDP
g ow h a e a iable o shocks in he change
in he PX index g ow h a e and he AT s ock
ading olume. The e is no GDP esponse o
he PX index shock o he AT shock.
This pa deals wi h he es ing o sho -
e m ela ionships (G ange causali y).
The hypo hesis es ed is ha he se ies in
ques ion does no ac in G ange ’s sense
agains an al e na i e hypo hesis ha denies
he hypo hesis es ed. We conside he 5%
signi icance le el. When e alua ing G ange
causali y, i is necessa y o wo k wi h s a iona y
ime se ies. The esul s o he se ies 1 delay
es a e shown in Tab. 3.
Based on he signi icance, he ze o
hypo hesis canno be ejec ed: he PX g ow h
a e nei he a ec s he GDP g ow h a e no
he ze o hypo hesis: he s ock ading olume
does no a ec he GDP g ow h a e. I was
only demons a ed ha he GDP g ow h a e
is in luenced by he PX index g ow h a e. The
esul s o block exogeni y (Tab. 4) show ha
oge he he a iables ep esen ing he s ock
ma ke a ec he de elopmen o he economic
g ow h. I we conside he PX and AT a iables
sepa a ely, he G ange es esul is con i med,
i.e. he e ec o PX de elopmen and he impac
E o co ec ion D(CR_GDP) D(CR_PX) D(CR_AT)
Coin Eq1
−0.022991 −0.010164*** −0.041996***
(0.04436) (0.00167) (0.00261)
[−0.51826] [−6.09233] [−16.0863]
D(CR_GDP(−1))
0.062902 −0.014651** 0.042799***
(0.14932) (0.00562) (0.00879)
[0.42126] [−2.60897] [4.87042]
D(CR_PX(−1))
−0.084028 0.869893*** −0.493121***
(0.88386) (0.03324) (0.05202)
[−0.09507] [26.1702] [−9.48031]
D(CR_AT(−1))
0.207937 −0.000283 1.047954***
(0.14828) (0.00558) (0.00873)
[1.40235] [−0.05069] [120.093]
C
0.014800 −0.000582*** −0.003004***
(0.00375) (0.00014) (0.00022)
[3.94838] [−4.12812] [−13.6189]
R-squa ed 0.342855 0.998777 0.999635
Sou ce: own
Tab. 2: Es ima es VECM (1)
EM_3_2020.indd 144 27.08.2020 13:31:15
145
3, XXIII, 2020
Finance
o s ock ading olume do no play a signi ican
ole in he de elopmen o he economic g ow h.
4.2 slo akia
The a iables (SR_GDP, SR_SAX, SR_AT) o
he VAR model exhibi he p ope ies o i s -
o de non-s a iona i y, i.e. I(1). I shows Tab. 5.
Exis ence o one long- e m bond can be
speci ied by a coin eg a ion equa ion:
EQ_SR = SR_GDP + 1.216SR_SAX +
+ 0.144SR_AT (2)
A coin eg a ion ec o exp essing he
equilib ium ela ionship be ween SR_GDP,
SR_SAX and SR_AT is (1.000; 1.216; 0.144).
This means ha a 1% inc ease in SR_SAX
will cause a dec ease in SR_GDP by 1.216%,
and a 1% inc ease in SR_AT will cause
Fig. 1: Response o Cholesky One S. D. Inno a ions
Sou ce: own
Null hypo hesis F-S a is ic P- alue Resul s o
α = 0.05
D(CR_PX) does no G ange Cause D(CR_GDP) 1.24245 0.2703 NO
D(CR_GDP) does no G ange Cause D(CR_PX) 6.98069 0.0110 YES
D(CR_AT) does no G ange Cause D(CR_GDP) 3.57698 0.0644 NO
D(CR_GDP) does no G ange Cause D(CR_AT) 0.58899 0.4464 NO
D(CR_AT) does no G ange Cause D(CR_PX) 565.447 6.E-29 YES
D(CR_PX) does no G ange Cause D(CR_AT) 1,618.70 9.E-40 YES
Sou ce: own
Excluded Chi-sq d P ob.
D(CR_PX) 0.009038 1 0.9243
D(CR_AT) 1.966591 1 0.1608
All 13.04737 20.0015
Sou ce: own
Tab. 3: Pai wise G ange causali y es s (Lag 1)
Tab. 4: Block Exogenei y Wald es s – dependen a iable D(CR_GDP)
EM_3_2020.indd 145 27.08.2020 13:31:16
146 2020, XXIII, 3
Finance
an dec ease in SR_GDP by 0.144%. This
conclusion is no in line wi h he assump ion,
because a posi i e ela ionship is assumed
be ween he a iables.
The esul s o he VECM(1) es ima e
demons a ed he s a is ical signi icance o he
GDP co ec ion componen , as shown in Tab. 6.
The model su icien ly explains he con e gence
o he long- e m equilib ium de ined by he
coin eg a ion equa ion. The Coin Eq1 alue
(0.045) indica es ha his ime se ies is adjus ed
by 4.5% in he i s qua e in he case o long-
e m ins abili y o he dependen a iable. In
o he wo ds, comple e elimina ion o ins abili y
would las app oxima ely 22 mon hs (1/0.045),
i means almos 2 yea s. Rega ding eg ession
coe icien s, i can be a gued ha he GDP
is nega i ely ela ed o he ise in he SAX
s ock index and he s ock ading olume, wi h
qua e ly delays. Model assump ions a e me .
Fig. 2 shows he impulse esponse
unc ions. This a icle deals wi h he esponse
o he GDP g ow h a e a iable o shocks in he
change in he SAX index g ow h a e and he
AT s ock ading olume. The e is an immedia e
eac ion in he case o AT, he e ec o which
pe sis s o se e al pe iods. An immedia e
esponse is also igge ed by he SAX index
shock, bu his shock is abso bed as e han in
he case o AT.
Va iable n/c/c+ T-s a P- alue Resul Va iable n/c/c+ T-s a P- alue Resul
SR_GDP c+ −3.11 0.115 N D(SR_GDP) c+ −5.041 0.001 S
SR_SAX n−0.51 0.491 N D(SR_SAX) c+ −3.656 0.035 S
SR_AT c+ −3.19 0.097 N D(SR_AT) c−2.071 0.038 S
Sou ce: own
Tab. 5: Tes ing he uni oo o he a iables in le els and hei i s di e ences
E o co ec ion D(SR_GDP) D(SR_SAX) D(SR_AT)
Coin Eq1
0.044835*** −0.016073*** 0.067268*
(0.01492) (0.00224) (0.03776)
[3.00534] [−7.16767] [1.78154]
D(SR_GDP(−1))
0.042170 0.027676 0.495568
(0.14409) (0.02166) (0.36470)
[0.29266] [1.27784] [1.35885]
D(SR_SAX(−1))
−0.197066** 0.880563*** 0.717930***
(0.09752) (0.01466) (0.24682)
[−2.02078] [60.0723] [2.90866]
D(SR_AT(−1))
−0.095667*** −0.018677*** 1.034930***
(0.02583) (0.00388) (0.06537)
[−3.70434] [−4.81132] [15.8330]
C
0.006515*** −0.001197*** 0.000730*
(0.00256) (0.00038) (0.00648)
[2.54436] [−3.11092] [0.11261]
R-squa ed 0.328278 0.995912 0.953314
Sou ce: own
Tab. 6: Es ima es VECM
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153
3, XXIII, 2020
Finance
he V4 coun ies? The eason is he s a is ical
beha iou o s ock indices and he economic
g ow h. The long- e m g ow h end, which adds
o he e ec s o sho - e m luc ua ions, plays
a majo ole in bo h cases. Howe e , sho - e m
luc ua ions a e no e y impo an ei he o he
de elopmen o he economy o o long- e m
income om he s ock ma ke .
The global inancial c isis may be a ac o in
his in es iga ion because du ing he economic
c isis (2007–2008), he ex e nal economic
equilib ium was no a o able. Sugges ions o
u he esea ch: compa ison o he ela ionship
be ween he de elopmen o s ock ma ke s and
he economic g ow h in V4 be o e and a e
he inancial c isis. Fu he esea ch can be
ex ended o hese coun ies: he Uni ed S a es
o Ame ica, Japan and he Eu opean Union.
Acknowledgemen : This pape was suppo ed
by he p ojec no. SGS/19/2019, Applica ion o
Cus ome Rela ionship Managemen Sys ems
in Small and Medium-sized En e p ises
accep ed in 2019.
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