Personal Finances vs. the Overall Economic Conditions: What Drives the New EU Member States’ Stock Markets?

• Authors: Ivana Lolić , Petar Sorić , Mirjana Čižmešija

Title variants

Finanse osobiste a ogólne warunki gospodarcze: co napędza rynki giełdowe nowych państw członkowskich UE?

• Languages of publication: EN

Abstracts

EN

This paper analyses the leading characteristics of the Consumer Confidence Index (CCI) with respect to stock market returns for 11 New EU Member States. It proposes novel CCI weights by minimizing mean squared errors from regression forecasting equations, using CCI lags as regressors. With regards to the obtained “optimal” weights, the examined countries are grouped into micro‑ and macro‑oriented clusters. A strong shift is found in the weights due to the recent recession. The micro aspects (reflecting the wealth effect) severely lose their importance in the crisis, while the consumers’ macroeconomic sentiments grow in significance and constitute a separate transmission channel.

PL

W artykule przedstawiono analizę głównych cech wskaźnika zaufania konsumentów (CCI) w odniesieniu do stóp zwrotu z rynku papierów wartościowych dla 11 nowych państw członkowskich UE. Zaproponowano nowe wagi dla wskaźnika CCI, minimalizując średnie błędy kwadratowe z równań regresji, używając opóźnień CCI jako regresorów. Biorąc pod uwagę otrzymane wagi „optymalne”, badane kraje zostały zgrupowane w mikro‑ i makro‑zorientowane klastry. Zaobserwowano dużą zmianę wag będącą efektem niedawnej recesji. Aspekty mikro (odzwierciedlające efekt bogactwa) poważnie tracą na znaczeniu w czasie kryzysu a nastroje makroekonomiczne konsumentów zyskują na znaczeniu i stają się osobnym kanałem transmisji.

Keywords

EN

consumer confidence; business and consumer surveys; stock market; numerical optimization

PL

zaufanie konsumentów; badania biznesowe i konsumenckie; giełda; optymalizacja liczbowa; zaufanie konsumentów; badania biznesowe i konsumenckie; giełda; optymalizacja liczbowa

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Comparative Economic Research. Central and Eastern Europe
• Year: 2017
• Volume: 20
• Issue: 4
• Pages: 125-142

Dates

published

2017-12-30

Contributors

author

Ivana Lolić

• University of Zagreb, Faculty of Economics and Business Zagreb

author

Petar Sorić

author

Mirjana Čižmešija

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Identifiers

DOI

10.1515/cer-2017-0031