The Relationship Of Interest Rates And Stock Returns
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| Author | : Nargiz Nasirova |
| Publisher | : |
| Total Pages | : 77 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
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 | : |
| Total Pages | : 14 |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
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 |
| Total Pages | : 486 |
| Release | : 1992-01-30 |
| Genre | : Business & Economics |
| ISBN | : 9780262691512 |
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 | : |
| Total Pages | : 26 |
| Release | : 2000 |
| Genre | : Bank stocks |
| ISBN | : 9781740671613 |
| Author | : Hualan Cai |
| Publisher | : |
| Total Pages | : 76 |
| Release | : 2006 |
| Genre | : Bank stocks |
| ISBN | : |
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 | : |
| Total Pages | : |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
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 | : Jaewon Choi |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2014 |
| Genre | : Economics |
| ISBN | : |
This paper uses contingent claim asset pricing and exploits capital structure priority to better understand the relation between corporate security returns and interest rate changes (i.e., duration). We show theoretically and, using a novel dataset, confirm empirically that lower priority securities in the capital structure, such as subordinated or distressed debt and equity, have low or even negative durations because these securities are effectively short higher priority, high duration fixed rate debt. This finding has important implications for interpreting existing results on (i) the time-varying correlation between the aggregate stock market and government bonds, (ii) the use of bond factors for multifactor asset pricing models and forecasting bond and stock returns, (iii) the Fisher effect and inflation, and (iv) the betas of corporate bonds.
| Author | : Dr. K. Latha |
| Publisher | : |
| Total Pages | : |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
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 | : Karl-Heinz Waldmann |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 590 |
| Release | : 2007-08-11 |
| Genre | : Business & Economics |
| ISBN | : 3540699953 |
This volume contains a selection of papers referring to lectures presented at the symposium Operations Research 2006 held at the University of Karlsruhe. The symposium presented the state of the art in Operations Research and related areas in Economics, Mathematics, and Computer Science and demonstrated the broad applicability of its core themes, placing particular emphasis on Basel II, one of the most topical challenges of Operations Research.
| Author | : Epameinondas Katsikas |
| Publisher | : |
| Total Pages | : |
| Release | : 2016 |
| Genre | : |
| ISBN | : |
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.
