Testing for Granger Causality Between Stock Return, Economic Fluctuations and Sentiment Indicators: Evidence from Poland

Paweł Sekuła

Abstract


Purpose of the article: This paper empirically investigates the interdependencies between stock return, economic fluctuations and sentiment indicators.

Research methods: The research used a bivariate VAR model and Granger causality tests are performed. Quarterly data covering the period from September 2001 to December 2018 are used.

Main findings: The empirical results indicated a one-way causality from economic fluctuations to sentiment indicators and from stock return to sentiment indicators. The tests did not confirm the causal relationship between economic fluctuations and stock return.


Keywords


economic fluctuation; stock return; sentiment indicators; Granger causality

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References


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DOI: http://dx.doi.org/10.17951/h.2019.53.4.129-139
Date of publication: 2019-12-31 08:37:25
Date of submission: 2019-05-14 16:20:50


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