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


  • 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.

Suggested Citation

  • Cifter Atilla & Ozun Alper, 2008. "Estimating the Effects of Interest Rates on Share Prices in Turkey Using a Multi-Scale Causality Test," Review of Middle East Economics and Finance, De Gruyter, vol. 4(2), pages 68-79, April.
  • Handle: RePEc:bpj:rmeecf:v:4:y:2008:i:2:n:2

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    References listed on IDEAS

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    Cited by:

    1. repec:eee:phsmap:v:482:y:2017:i:c:p:552-568 is not listed on IDEAS
    2. BENDOB, Ali & Benahmed-Daho, Rachida, 2017. "Pourrions-nous utiliser l'Euribor comme taux de rendement sans risque dans la région Arabe ?
      [Could we use the Euribor as risk-free rate return in Arabic region?]
      ," MPRA Paper 81405, University Library of Munich, Germany, revised Jun 2017.
    3. Ferrer, Román & Bolós, Vicente J. & Benítez, Rafael, 2016. "Interest rate changes and stock returns: A European multi-country study with wavelets," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 1-12.
    4. Foued Saâdaoui, 2013. "The Price and Trading Volume Dynamics Relationship in the EEX Power Market: A Wavelet Modeling," Computational Economics, Springer;Society for Computational Economics, vol. 42(1), pages 47-69, June.
    5. 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.

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