Impact of Stock Markets on the Economy in V4 Countries

138 2020, XXIII, 3 Finance 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 EM_3_2020.indd 138 27.08.2020 13:31:15 139 3, XXIII, 2020 Finance 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. EM_3_2020.indd 139 27.08.2020 13:31:15 140 2020, XXIII, 3 Finance 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 EM_3_2020.indd 140 27.08.2020 13:31:15 141 3, XXIII, 2020 Finance 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 EM_3_2020.indd 141 27.08.2020 13:31:15 142 2020, XXIII, 3 Finance 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. EM_3_2020.indd 142 27.08.2020 13:31:15 143 3, XXIII, 2020 Finance 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 EM_3_2020.indd 146 27.08.2020 13:31:16 153 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. e e ences A es is, P., Deme iades, P. O., & Luin el, K. B. (2001). 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