Přehled o publikaci

Stock price movements are determined by several diverse factors. A significant portion of these factors are examined by fundamental stock analysis, which uses various statistical tools to identify the relationships between macroeconomic, sectoral, and company factors and stock price movements. Analysts, investors, and portfolio managers then use their knowledge of the relationships between economic variables and stock prices to develop investment strategies and make investment decisions. Among macroeconomic factors, the most frequently analysed are the impact of GDP growth, interest rates, money supply, government expenditure, and inflation on stock price movements, represented in this case by the stock index. The aim of this study is to identify the relationships between GDP growth, interest rates, changes in the money supply, government expenditure, inflation, and stock market returns represented by the stock index in the following nine countries: the Czech Republic, Poland, Sweden, Turkey, the United Kingdom, the United States, China, India, and Japan. To analyse the relationships between macroeconomic variables and stock indices as proxies for stock markets, we used a vector autoregressive (VAR) model with an optimally selected number of lags. The VAR model proves to be a useful tool for analysing multiple time series that are interrelated. The results of the study show how macroeconomic factors, including fiscal and monetary shocks, affect stock markets and provide quantitative estimates of these relationships. The study provides new insights into the relationships between macroeconomic variables and stock markets in recent decades, which has important implications for the work of fundamental analysts and for investors in constructing investment strategies. The study could be continued by extending and restructuring the period under review and expanding the range of countries covered. At the same time, it would be appropriate and useful to examine in more detail the interrelationships and influences between individual macroeconomic variables. This study provides an original analysis of the interrelationships between the movement of macroeconomic variables and stock prices using the VAR model, which allows for a deeper understanding of the interconnections and correlations. The analysis conducted in this study provides useful insights for the practical application of fundamental stock analysis, as well as applicable insights for further research into the functioning of stock markets.