The relationship between macroeconomic variables and stock market indices: evidence from Central and Eastern European countries

The aim of the study was to investigate the relationship between selected macroeconomic variables and the values of representative stock market indices for Central and Eastern European countries in the period Q1 2004 - Q4 2021. The results, based on the Johansen cointegration test, revealed that the selected macroeconomic variables have an impact on the value of stock market indices on the long term. These results are attributed to the importance of the state of the macroeconomic environment for stable business activity. The reason for this is that macroeconomic stability provides better grounds for predicting the development of the market situation and fiscal and monetary policy. The application of VECM estimations and the Granger causality test indicate that the selected macroeconomic variables affect the values of European stock market indices on the long term rather than on the short term. These findings may reflect the expectations of subjects and/or the consequences of policy measures, whose the impacts can only be estimated and may manifest with a significant delay.