Macroeconomic factors and stock prices in the emerging Cypriot equity market

Abstract

This study examines the relationships between macroeconomic factors and stock prices in Cyprus. Estimating a reduced form Vector Autoregressive model (VAR) we determine Granger causality between stock returns and the predictor variables. We find strong evidence of predictability (which implies inefficiency) in stock returns, which is similar to the pattern observed in developed stock markets. In common with prior studies in this area, we cannot use our results as evidence of market inefficiency or deficiencies in the asset‐pricing model.

Citation

Tsoukalas, D. (2003), "Macroeconomic factors and stock prices in the emerging Cypriot equity market", Managerial Finance, Vol. 29 No. 4, pp. 87-92. https://doi.org/10.1108/03074350310768300