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Author: Nargiz Nasirova
Publisher:
ISBN:
Category :
Languages : en
Pages : 77
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Book Description
It is accepted that stock returns are influenced by numerous economic and fundamental factors. This masters thesis aims to investigate the influence of economic factors such as interest rate on stock returns. The thesis explores the theoretical aspects of stock return fluctuations and the factors that influence them, interest rates as an important economic variable, and the interrelation of interest rates and stock returns. In specific, the thesis provides empirical research which examines the relationship between interest rates and stock returns in the Austrian market for the period of October 2004 to August 2014. The empirical part includes an analysis of the effects of six interest rates on stock indices changes in Austria. The research provides empirical evidence of the presence of a positive linear relationship between several interest rates and Austrian stock returns. The explanatory power of regression models increases after adding a market variable. The difference in interest rate sensitivity of different industries is confirmed. The results of this research are in line with the results of previous studies.*****It is accepted that stock returns are influenced by numerous economic and fundamental factors. This masters thesis aims to investigate the influence of economic factors such as interest rate on stock returns. The thesis explores the theoretical aspects of stock return fluctuations and the factors that influence them, interest rates as an important economic variable, and the interrelation of interest rates and stock returns. In specific, the thesis provides empirical research which examines the relationship between interest rates and stock returns in the Austrian market for the period of October 2004 to August 2014. The empirical part includes an analysis of the effects of six interest rates on stock indices changes in Austria. The research provides empirical evidence of the presence of a positive linear relationship between several interest rates and Austrian stock returns. The explanatory power of regression models increases after adding a market variable. The difference in interest rate sensitivity of different industries is confirmed. The results of this research are in line with the results of previous studies.
Author: Nargiz Nasirova
Publisher:
ISBN:
Category :
Languages : en
Pages : 77
Get Book Here
Book Description
It is accepted that stock returns are influenced by numerous economic and fundamental factors. This masters thesis aims to investigate the influence of economic factors such as interest rate on stock returns. The thesis explores the theoretical aspects of stock return fluctuations and the factors that influence them, interest rates as an important economic variable, and the interrelation of interest rates and stock returns. In specific, the thesis provides empirical research which examines the relationship between interest rates and stock returns in the Austrian market for the period of October 2004 to August 2014. The empirical part includes an analysis of the effects of six interest rates on stock indices changes in Austria. The research provides empirical evidence of the presence of a positive linear relationship between several interest rates and Austrian stock returns. The explanatory power of regression models increases after adding a market variable. The difference in interest rate sensitivity of different industries is confirmed. The results of this research are in line with the results of previous studies.*****It is accepted that stock returns are influenced by numerous economic and fundamental factors. This masters thesis aims to investigate the influence of economic factors such as interest rate on stock returns. The thesis explores the theoretical aspects of stock return fluctuations and the factors that influence them, interest rates as an important economic variable, and the interrelation of interest rates and stock returns. In specific, the thesis provides empirical research which examines the relationship between interest rates and stock returns in the Austrian market for the period of October 2004 to August 2014. The empirical part includes an analysis of the effects of six interest rates on stock indices changes in Austria. The research provides empirical evidence of the presence of a positive linear relationship between several interest rates and Austrian stock returns. The explanatory power of regression models increases after adding a market variable. The difference in interest rate sensitivity of different industries is confirmed. The results of this research are in line with the results of previous studies.
Author: Sudharshan Reddy Paramati
Publisher:
ISBN:
Category :
Languages : en
Pages : 14
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Book Description
In this paper study aims to investigate the relationship between call money rates, exchange rates and stock returns from the perspective of India. We use monthly data for the time span of April 1992 to March 2011. This provides sufficient data set for the empirical analysis. Result from Granger causality test evidences bidirectional relationship between call money rates and exchange rates. It is also identified that call money rates and exchange rates Granger cause stock returns and did not find reverse causality from stock returns to call money and exchange rates. To explore, lead-lag interaction among the variables studied we employed VAR models. Results suggest that there is substantial lead-lag relationship from call money rates to exchange rates and stock returns. Similar relationship also found from exchange rates to call money rates and stock returns. However, there is no evidence of lead-lag causation from stock returns to call money and exchange rates. Findings of this study are useful for the investors and policy makers. In investors' standpoint, they can utilize this historical information of call money rates and exchange rates for predicting the movements of stock returns. Similarly, policy makers can stabilize the stock market fluctuations by adopting appropriate policies towards interest rates and exchange rates for time to time.
Author: Robert J. Shiller
Publisher: MIT Press
ISBN: 9780262691512
Category : Business & Economics
Languages : en
Pages : 486
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Book Description
Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Why does the stock market crash from time to time? Why does real estate go in and out of booms? Why do long term borrowing rates suddenly make surprising shifts? Market Volatility represents a culmination of Shiller's research on these questions over the last dozen years. It contains reprints of major papers with new interpretive material for those unfamiliar with the issues, new papers, new surveys of relevant literature, responses to critics, data sets, and reframing of basic conclusions. Included is work authored jointly with John Y. Campbell, Karl E. Case, Sanford J. Grossman, and Jeremy J. Siegel. Market Volatility sets out basic issues relevant to all markets in which prices make movements for speculative reasons and offers detailed analyses of the stock market, the bond market, and the real estate market. It pursues the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general. In studies of the October 1987 stock market crash and boom and post-boom housing markets, Market Volatility reports on research directly aimed at collecting information about popular models and interpreting the consequences of belief in those models. Shiller asserts that popular models cause people to react incorrectly to economic data and believes that changing popular models themselves contribute significantly to price movements bearing no relation to fundamental shocks.
Author: John L. Simpson
Publisher:
ISBN: 9781740671613
Category : Bank stocks
Languages : en
Pages : 26
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Book Description
Author: Hualan Cai
Publisher:
ISBN:
Category : Bank stocks
Languages : en
Pages : 76
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Book Description
We empirically investigate the sensitivity of Canadian commercial bank stock returns and profitability to changes in interest rates. We find a statistically significant negative relationship between bank stock returns and changes in interest rates over the period 1995-2006, while the relationship is not significant over the past five years. Furthermore, banks' profitability appears not to be significantly affected by changes in interest rates over our sample period. Our results suggest that Canadian Banks are relatively well immunized against interest rate risk. This may be due to an appropriate matching between the duration of assets and liabilities (on balance sheet risk management) and/or an efficient use of interest rate derivatives (off balance sheet management).
Author: Nikiforos T. Laopodis
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper examines the dynamic linkages among the equity market, economic activity, inflation and monetary policy since the 1970s. The main findings are as follows. First, bivariate results for the linkages between real stock returns and inflation confirm the surprising result of negative correlation between the two magnitudes for the 1970s and 1980s. Second, the bivariate and multivariate findings suggest a weak negative relationship between real stock returns and the federal funds rate for every decade. Third, the results for the real stock returns-real activity pair reveal a weak negative relationship in the 1970s and 1990s, a positive in the 1980s, but no significant relationship within the multivariate framework. Finally, our results seem to imply that there is no concrete and consistent dynamic relationship between monetary policy and the stock market and that the nature of such dynamics has been different in each decade.
Author: Dr. K. Latha
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The present study attempts to examine the relationship between interest rate movements and stock returns in India by using the methodology of panel regression. The study spans the period from 1st April 1996 to 30th August 2014. Sample used in the study consists of all financial and non-financial companies listed in the S&P CNX 500 index with continuous availability of share prices over the study period. Time series used in the present study is non-stationary; it was however found to be stationary at the first difference. Stock returns in India exhibit significant exposure with both market returns and interest rate changes. Both the financial sector and non-financial sector stocks are potentially affected by interest rate changes but the magnitude of impact varies widely. The impact of interest rate changes on common stock returns of financial institution is higher as compared to non-financial institutions. In case of financial firms, the impact of interest rate movements is higher on banking firms compared to non-banking financial firms. In case of non-financial firms, the moderate relationship is found between stock returns and interest rate changes for automobile, cement & cement products, chemical products, construction, consumer goods, energy, industrial manufacturing, IT, metal products and pharma sectors, whereas this relationship is found to be weak for fertilizer & pesticides products, health, media & entertainment, service, telecom and textile sectors respectively.
Author: Epameinondas Katsikas
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
The current research attempts to investigate the effects of changes in interest rates (IR) and exchange rates (FX) on bank stock returns (BSR) in the context of Kenya. Further, it will investigate the effects of actual interest and exchange rates on bank stock returns. In addition, this study also explores the impact of 2007-2008 election violence in Kenya on these relationships. Both short and long term interest rates will be used by this study.By applying Ordinary Least Square (OLS) regression method this study will test whether changes in interest rates and exchange rates are negatively or positively related to the BSR as well as the significance of their relationship to BSR. This will be tested together with the effect of the inclusion of inflation rates on them. In order to capture the effect of 2007-2008 election violence in Kenya the significance of IR and FX pre and post the election period will be evaluated with regard to their effect on BSR.
Author: John Y. Campbell
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
It is well known that in the postwar period stockreturns have tended to be low when the short term nominal interest rate is high. In this paper I show that more generally the state of the term structure of interest rates predicts stock returns. Risk premia on stocks appear to move closely together with those on 20-year Treasury bonds, while risk premia on Treasury bills move somewhat independently. Average returns on 20-year bonds have been very low relative to average returns on stocks. I use these observations to test some simple asset pricing models. First I consider latent variable models in which betas are constant and risk premia vary with expected returns on a small number of unobservable hedge portfolios. The data strongly reject a single-latent-variable model.The last part of the paper examines the relationship between conditional means and variances of returns on bills, bonds and stocks. Bill returns tend to be high when their conditional variance is high, but there is a perverse negative relationship between stock returns and their conditional variance. A model is estimated which assumes that asset returns are determined by their time-varying betas with a fixed-weight "benchmark" portfolio of bills, bonds and stocks, whose return is proportional to its conditional variance. This portfolio is estimated to place almost all its weight on bills, indicating that uncertainty about nominal interest rates is important in pricing both short- and long-term assets
Author: Donald B. Percival
Publisher: Cambridge University Press
ISBN: 1107717396
Category : Mathematics
Languages : en
Pages : 628
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Book Description
This introduction to wavelet analysis 'from the ground level and up', and to wavelet-based statistical analysis of time series focuses on practical discrete time techniques, with detailed descriptions of the theory and algorithms needed to understand and implement the discrete wavelet transforms. Numerous examples illustrate the techniques on actual time series. The many embedded exercises - with complete solutions provided in the Appendix - allow readers to use the book for self-guided study. Additional exercises can be used in a classroom setting. A Web site offers access to the time series and wavelets used in the book, as well as information on accessing software in S-Plus and other languages. Students and researchers wishing to use wavelet methods to analyze time series will find this book essential.
