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Estimating the Effects of Interest Rates on Share Prices in Turkey Using a Multi-Scale Causality Test

Listed author(s):
  • Cifter Atilla

    (Sekerbank and Marmara University)

  • Ozun Alper

    (Is Bank of Turkey)

This 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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File URL: https://www.degruyter.com/view/j/rmeef.2008.4.2/rmeef.2008.4.2.1069/rmeef.2008.4.2.1069.xml?format=INT
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Article provided by De Gruyter in its journal Review of Middle East Economics and Finance.

Volume (Year): 4 (2008)
Issue (Month): 2 (April)
Pages: 68-79

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Handle: RePEc:bpj:rmeecf:v:4:y:2008:i:2:n:2
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  1. Ramsey James B. & Lampart Camille, 1998. "The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(1), pages 1-22, April.
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  15. Cifter, Atilla & Ozun, Alper, 2007. "The Effects of International F/X Markets on Domestic Currencies Using Wavelet Networks: Evidence from Emerging Markets," MPRA Paper 2482, University Library of Munich, Germany.
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