Acta Univ. Agric. Silvic. Mendelianae Brun. 2016, 64(1), 283-290 | DOI: 10.11118/actaun201664010283

Do Stock Markets Have Any Impact on Real Economic Activity?

Kateřina Krchnivá

Department of Accounting and Taxation, Faculty of Business and Economics, Mendel University in Brno, Zemědělská 1, 613 00 Brno, Czech Republic

There is no doubt about the existence of connection between the stock markets and the real economic activity. Many researchers indicated that the stock markets causally affect the economic activity with the lag of three months. Contrary, the other group of researchers suggested, that these relationships are reversal, moreover some of them concluded that these relationships are reciprocal. The paper analyses the relationship between the stock markets and the economic activity in seven countries with the research objective to identify these relationships in relation of cause and effect. As the proxy of the stock markets are stock indices considered, while the economic activity is expressed by the Gross Domestic Product at constant prices. The correlation analysis and the Granger causality test applied on suggested vector autoregressive models are employed for the research in the paper. The paper concludes that stock markets may be considered as the significant predictor of the real economic activity with the lag of one quarter, however, there is no reciprocal links between them.

Keywords: economic activity, correlations analysis, the Granger causality, gross domestic product, mutual and unilateral relations, stock indices, stock markets, vector autoregressive models

Prepublished online: February 29, 2016; Published: April 1, 2016  Show citation