Regional Limitations of Stock Indices Prediction Models Based on Macroeconomic Variables

Abstract

Research purpose. Stocks as well as other securities are a crucial part of the financial market that helps to redistribute financial resources amongst market participants, which in a modern economy include not only professional stock players but also many common individuals seeking to increase their capital. Previous studies found a strong relationship between the macroeconomic variables and stock returns but often the explanatory power of those models seems to be limited in the applicable region. The aim of this article is to establish whether each region’s stock indices have to be predicted based on a separate set of variables.

Keywords

• stock indices
• macroeconomic variables
• prediction
• relationship
• correlation – regression analysis
• g15
• c53