Estimating the Effects of Interest Rates on Share Prices in Turkey Using a Multi-Scale Causality Test
AbstractThis paper examines the impact of changes in interest rates on stock returns in Turkey by using wavelet analysis with Granger causality tests. By using daily closing values of the ISE 100 Index and interest rates, it is proven that starting with the 9 day time-scale effect, Granger interest rates cause the ISE 100 index and the effect of interest rates on stock returns to increase with higher time-scales. This evidence shows that the bond market has a significant long-term effect on the stock market in Turkey.
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Bibliographic InfoArticle provided by De Gruyter in its journal Review of Middle East Economics and Finance.
Volume (Year): 4 (2008)
Issue (Month): 2 (April)
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Web page: http://www.degruyter.com
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- Tiwari, Aviral Kumar, 2012. "Decomposing Time-Frequency Relationship between Interest Rates and Share Prices in India through Wavelets," MPRA Paper 39693, University Library of Munich, Germany.
- Foued Saâdaoui, 2013. "The Price and Trading Volume Dynamics Relationship in the EEX Power Market: A Wavelet Modeling," Computational Economics, Society for Computational Economics, vol. 42(1), pages 47-69, June.
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