LONG-RUN AND SHORT-RUN CAUSALITY BETWEEN STOCK PRICE INDICES AND MACROECONOMIC VARIABLES: EVIDENCE OF PANEL VECM ANALYSIS FROM BOSNIA AND HERZEGOVINA, CROATIA, NORTH MACEDONIA AND SERBIA

The purpose of this paper is to identify the long-run and short-run relationship between values Macedonian Stock Exchange Index composed 10 most liquid listed stocks (MBI10), Zagreb (CROBEX) stocks, Sarajevo (SASX-10) Belgrade 15 (BELEX 15) selected macroeconomic variables. In order variables that affect stock indices, analytical-synthetic method statistical are applied. uses econometric models for data analysis interpretation includes application following tools: Panel unit root test, Fisher -Johansen cointegration panel vector error correction model (PVECM) Wald test statistics. results PVECM indices independent such as industrial production index 2015=100, average monthly gross wages, shows existence conditionality or causal on long-run, when variable Harmonized Consumer Prices (HICP) according COICOP classification 2015=100 exluded from model. By applying PVECM, it can be concluded there a long run causality running dependent variable, meaning wages speed adjustment towards equilibrium.