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|Title:||Econometric models of the impact of macroeconomic processes on the stock market in the baltic countries|
|Keywords:||ЭБ БГУ::ОБЩЕСТВЕННЫЕ НАУКИ::Экономика и экономические науки|
|Publisher:||Minsk : Publ. center of BSU|
|Citation:||Computer Data Analysis and Modeling: Theoretical and Applied Stochastics : Proc. of the Tenth Intern. Conf., Minsk, Sept. 10–14, 2013. Vol 2. — Minsk, 2013. - P. 177-180|
|Abstract:||The paper is meant for econometric modeling and prediction of sector in- dice variation regularities of stock prices in the OMX exchange of the Baltic countries’ companies.To develop regression models, quarterly time series of 2000 - 2011 years are used.Regression equations, obtained in the work, allow us to name the basic macroeconomic indicators that significantly influence stock mar- ket fluctuations and to quantitatively estimate their various impact on stock in- dices corresponding to individual economy sectors.A comparative analysis made shows that, on the basis of the developed regression models, there is a possibility to predict the tendencies of stock market variation more exactly than by apply- ing the Vector autoregression model of stock price sector indices, considered by the authors, which contains no variables that define macroeconomics.|
|Appears in Collections:||2013. Computer Data Analysis and Modeling. Vol 2|
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