Econometric models of the impact of macroeconomic processes on the stock market in the baltic countries

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.