Impact of Macroeconomic Variables on Stock Market Index in Bosnia and Herzegovina
Impact of Macroeconomic Variables on Stock Market Index in Bosnia and Herzegovina
Author(s): Edin Djedović, Irfan DjedovićSubject(s): National Economy, Economic development, Financial Markets
Published by: Pravni fakultet Univerziteta u Tuzli
Keywords: SASX-30; macroeconomic variables; return; volatility; B&H;
Summary/Abstract: The relationship between macroeconomic variables and stock market indices is well documented and investigated around the world. However, there is a certain gap in the literature regarding the relationship between macroeconomic variables and stock market index in Bosnia and Herzegovina. Thus, this paper examines the impact of macroeconomic variables in Bosnia and Herzegovina on stock market index (SASX-30). The results show that volatility of exchange rate in Bosnia and Herzegovina has significant impact (at 10%) on stock index return and volatility. Furthermore, the results show that the deposit (interest) rate and Industrial Production Index (IPI) have slightly negative significant long-term impact on stock index return.
Journal: Zbornik radova Pravnog fakulteta u Tuzli
- Issue Year: 4/2018
- Issue No: 2
- Page Range: 100-125
- Page Count: 26
- Language: English