Acta academica karviniensia 2018, 18(1):25-35 | DOI: 10.25142/aak.2018.003

CAN FINANCIAL RATIOS INFLUENCE THE STOCK RETURNS OF FINANCIAL SECTOR COMPANIES IN AUSTRIA?

Marie Ligocká

Silesian University, School of Business Administration, Univerzitní nám. 1934/3, 733 40 Karvina

The stock prices of companies are influenced by many variables; two basic categories are macroeconomic and microeconomic factors. The objective of this paper is to analyze the existence of a relationship between select microeconomic variables and the stock returns of financial sector companies listed on the Vienna Stock Exchange. The institutions that were chosen are Immofinanz AG, Raiffeisen Bank International AG, Erste Group Bank AG, Uniqa Insurance Group AG and Vienna Insurance Group AG. The focus is on Austria due to the lack of empirical literature on problematics of linkages between stock prices and microeconomic factors. A possibility of the existence of the cointegration relationships can be a useful for share traders and investors who want to make higher profits. A time series with semi-annual frequency are used to examine the occurrence of long-term and short-term cointegration links using the Johansen and the Granger tests. Further the analysis of the Generalized method of moments. The empirical estimates are calculated for the 2005 - 2015 period, which includes the global financial crisis. According to the theory it is expected positive relationship between selected microeconomic variables and the stock returns.

Keywords: cointegration, financial ratios, financial sector, GMM, stock return, Vienna Stock Exchange

JEL classification: C58, G21, O52

Received: September 29, 2017; Revised: February 8, 2018; Accepted: March 14, 2018; Published: March 30, 2018  Show citation