摘要：The stock market has been historically viewed as a reliable instrument to indicate economic processes. However, contemporary papers reveal the controversy of the issue. A clear understanding of stock market determinants is vital for investors, regulators, and academic researchers. Therefore, future researches are required to further explore this issue. The present paper analyzes relationships between a group of macroeconomic variables and the Lithuanian stock market index, i.e. OMX Vilnius index. The objective of this paper is to investigate whether stock prices may serve as a leading indicator for macroeconomic variables in Lithuanian economy or a group of macroeconomic variables may serve as a leading indicator for stock returns in Lithuania. Granger causality tests have been employed to estimate the relationship between the OMXV index and 40 macroeconomic variables depicting the health of Lithuanian economy from December 1999 to March 2008. The research reveals that some macroeconomic variables (e.g., GDP deflator, net export, foreign direct investment, etc.) lead Lithuanian stock market returns, some macroeconomic variables (e.g., GDP, material investment, construction volume index, etc.) are led by the OMXV index and, finally, some macroeconomic indices (e.g., money supply, payment balance, etc.) and the stock market returns Granger-cause each other.
