Summary: The article examines the dependencies of individual sectoral stock price indices of OMX Baltic security market on sectoral indicators of Lithuania economy, using econometric methods. Regression models are constructed using quarterly time series of 2005–2013 years. VAR models obtained in another paper have been extended to verify if the inclusion of sectoral economy indicators improves the ability to provide a higher level of accuracy in estimating the growth of sectoral price index. These indicators significantly improve the predictive power compared with the benchmark VAR model. The short-term forecasts of the investigated models are obtained. Econometric analysis of OMX Baltic security market proves the hypothesis that the set of sectoral regressors may vary considerably depending on the individual sector’s price indices.