This study examines the effect of specific macroeconomic factors on the stock prices of selected financial sector companies listed on the Central European Exchanges (Budapest Stock Exchange, Prague Stock Exchange, Bratislava Stock Exchange, or Warsaw Stock Exchange). We investigate the nature of the causal relationships between macroeconomic factors and stock prices. The long‑term causality, tested using the Johansen cointegration test, and the short‑run dynamics between the variables, examined using the VECM model, are explored using quarterly data from the 2005–2014 period. The short‑term causality shows the possibility of time series fluctuations; however a steady state should be achieved in the long‑term. In general, we confirmed that macroeconomic fundamentals had a negative impact on stock prices. The interest rate, which also has a negative im­pact, is the most prominent predictor of the long‑run developments. We also found very rare examples of macroeconomic variables that explain changes in stock prices within the VECM framework.

Purpose The purpose of this paper is to estimate and evaluate the impact of macroeconomic fundamentals on stock prices of selected food and drink industry stocks during the period of 2005–2015, which saw the global financial crisis and its aftermath. Design/methodology/approach The paper employed correlation analysis and the Johansen cointegration test with the vector error correction mechanism for EU companies operating in the food and drink industry. The paper tested the effects of GDP, inflation and interest rates (IR) on the stock prices of companies from Austria, Croatia, Cyprus, Denmark, Finland, Germany, Ireland, Italy, Lithuania, Poland, Spain and the UK. Findings Based on the results, the authors can see that GDP has a generally positive effect on stock price development. In contrast, the relationship between stock prices and inflation and IR is negative in most cases. Originality/value Despite the fact that a majority of empirical research on companies in the food and drink sector was performed using the microeconomic approach, this paper used the macroeconomic approach and clearly demonstrated the effects of selected macro-variables on stock prices in selected EU markets. Macroeconomic factors shape the company’s performance and could potentially lead to persistent changes in supply and demand conditions in food and drink markets.

History has shown that the stock prices and other financial assets are important aspects of the dynamics of economic activity. Stock prices can be an indicator of social mood and are used as a leading factor in the economic activity and financial stability. This paper investigates the relationship between selected macroeconomic and microeconomic factors and stock prices of companies listed on the Prague Stock Exchange. The portfolio theory and Capital Asset Pricing Model for specification of stock market are used. Johansen and Juselius (1990) and Hansen (1982) approaches are applied to test for causal relationship. In addition, the Vector error correction model for equilibration of a potential long‑run relationship between variables is used. Selected macroeconomic and microeconomic factors provide a statistically significant relationship on stock prices during the observed period from 2006 to 2016. However, the results differ substantially among the sectors of economic activity, the industrial production, the gros domestic product and profitability ratios in particular, can explain a long‑run behavior of stock prices.

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