Transformations  in
Business & Economics

Stock Returns and the Macroeconomic Environment: The Case of the Vilnius Stock-Exchange
Vytautas Snieška, Daiva Laskienė, Irena Pekarskienė

ABSTRACT. This paper investigates the relationship between domestic macroeconomic variables and surplus returns of stocks in Lithuanian stock market. How macroeconomic factors influence dynamics of stock index, were studied by using correlation - regressive analysis method. Dependence between share rates and macroeconomic indexes is analyzed globally both by academics and practicians. When investigating this dependence, up to now the biggest securities markets - USA, Great Britain, Japan, and Italy and so on, received the greatest attention. In growing stock markets, like Lithuanian one, such researches are insufficient. Lack of research determines that it is not only important to estimate existing relation between separate macroeconomic indexes and stock prices in definite period, but also the stability of the relation relatively to time and changing economic indicators.

The aim of this article is – to determine and to evaluate the relation between Lithuanian enterprises’ stock rates and economic indicators, and herewith to develop already existing researches about securities prices dependence on macroeconomic factors.

The research findings disclosed, that during the considered period most of Lithuania’s macroeconomic factors were correlating with shares’ prices fairly strong, and it is possible to forecast the direction of these effects.

KEYWORDS: stock market, stock returns, shares indexes, macroeconomic factors, Lithuania.

JEL classification: C35, E2, E4, G13.