Özet:

This paper investigates the bi-directional long run relationship between macroeconomic factors, oil and stock prices of three transition economies of Central and Eastern European Countries (CEEC-3) namely Czech Republic, Hungary and Poland.Using Toda-Yamamoto estimation procedure with generalized impulse response analysis, it is found in thisstudy that stock market index of each of these countries are not affected by any of these economic factors except for the industrial production in Poland. In Czech Republic and Poland,there is granger causality running from industrial production to inflation. In addition, oil prices granger causes inflation in Czech Republic implying the indicator of inflation in Czech Republic. In Czech Republic and Poland, inflation and industrial production causes interest rates. However, this causality is bidirectional in Poland rather than unidirectional in Czech Republic. It is also found that there is unidirectional causality running from inflation, interest rates and stock market returns to industrial production in Hungary. These findings may have important implications for decision-making by investors and national policymakers.

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