IDEAS home Printed from https://ideas.repec.org/a/ris/ecoint/0702.html
   My bibliography  Save this article

Decomposing Time-Frequency Relationship between Interest Rates and Share Prices in India through Wavelets - La scomposizione della relazione di frequenza temporale tra tassi di interesse e prezzi azionari in India tramite wavelet

Author

Listed:

Abstract

The study analyses Granger-causality between interest rate (IR) and share prices (SP) for India by using monthly data covering the period of 1990M1 to 2009M3. The time-frequency relationship between IR and SP was decomposed through continuous wavelet approach for the first time in the study. We found that for the Indian economy the causal and reverse causal relations between SP and IR vary across scale and period viz., during the late 1993 and early 1994, in 1-4 months scale, SP is lagging with cycle effects from IR, whereas during 1998-2001, in 8~12 months scale, SP is leading with cyclical effects on the IR. Further, results show that during 2003 to early 2005 (in 1~6 months scale) and again after late 2006 (in 9~14 months scale) SP is lagging and receiving anti-cyclical effects from IR. - Questo studio analizza la relazione di Granger-causalità tra il tasso di interesse e le quotazioni azionarie in India utilizzando dati mensili relativi al periodo gennaio 1990-marzo 2009. La relazione di frequenza temporale tra il tasso di interesse e le quotazioni azionarie è stata scomposta tramite l’approccio wavelet continuo utilizzato per la prima volta in questo studio. I risultati evidenziano che nell’economia indiana la relazione causale inversa tra tasso di interesse e quotazioni azionarie varia in scala e periodo: durante la fine del 1993 e l’inizio del 1994, in scala 1-4 mesi, le quotazioni azionarie crescono in misura minore del tasso di interesse con effetti ciclici, mentre durante il periodo 1998-2001, in scala 8-12 mesi, esse crescono in misura maggiore e con effetti ciclici. Inoltre vi sono evidenze che durante il 2003 fino all’inizio del 2005 (in scala 1-6 mesi) e nuovamente dopo gli ultimi mesi del 2006 (in scala 9-14 mesi) le quotazioni azionarie rallentano e ricevono effetti anticiclici dal tasso di interesse.

Suggested Citation

  • Tiwari, Aviral Kumar, 2013. "Decomposing Time-Frequency Relationship between Interest Rates and Share Prices in India through Wavelets - La scomposizione della relazione di frequenza temporale tra tassi di interesse e prezzi azio," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 66(4), pages 515-531.
    • Handle: RePEc:ris:ecoint:0702
    as

    Download full text from publisher

    File URL: http://www.iei1946.it/RePEc/ccg/TIWARI%20515_531.pdf
    File Function: Full text
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Interest Rates; Share Prices; Time-Frequency Analysis; Wavelets; Cross Wavelets; Wavelet Coherency;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:ecoint:0702. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Angela Procopio (email available below). General contact details of provider: https://edirc.repec.org/data/cacogit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.