IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to 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

Listed author(s):

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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

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

Article provided by Camera di Commercio Industria Artigianato Agricoltura di Genova in its journal Economia Internazionale / International Economics.

Volume (Year): 66 (2013)
Issue (Month): 4 ()
Pages: 515-531

as
in new window

Handle: RePEc:ris:ecoint:0702
Contact details of provider: Postal:
Via Garibaldi 4, 16124 Genova, Italy

Phone: +39 010 27041
Fax: +39 010 2704222
Web page: http://www.iei1946.it/it/index.php
Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ris:ecoint:0702. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Procopio)

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.