Cifter, Atilla and Ozun, Alper (2007): Estimating the Effects of Interest Rates on Share Prices Using Multiscale Causality Test in Emerging Markets: Evidence from Turkey.

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Abstract
This paper examines the impacts of changes in interest rates on stock returns by using wavelet analysis with Granger causality test. Financial time series in noncoherent markets should be analyzed by advanced methods capturing complexity of the markets and nonlinearities in stock returns. As a semiparametric method, wavelets analysis might be superior to detect the chaotic patterns in the noncoherent markets. By using daily closing values of the ISE 100 Index and compounded interest rates, it is proven that and starting with 9 days timescale effect interest rate is granger cause of ISE 100 index and the effects of interest rates on stock return increases with higher timescales. This evidence shows that bond market has significant longterm effect on stock market for Turkey and traders should consider longterm money markets changes as well as shortterm changes.
Item Type:  MPRA Paper 

Institution:  Marmara University 
Original Title:  Estimating the Effects of Interest Rates on Share Prices Using Multiscale Causality Test in Emerging Markets: Evidence from Turkey 
Language:  English 
Keywords:  Interest rates; Emerging markets; Wavelets; Stock returns; Multiscale Granger causality 
Subjects:  C  Mathematical and Quantitative Methods > C4  Econometric and Statistical Methods: Special Topics > C45  Neural Networks and Related Topics C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General 
Item ID:  2485 
Depositing User:  Atilla Cifter 
Date Deposited:  03. Apr 2007 
Last Modified:  14. Feb 2013 09:02 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/2485 