کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5083301 | 1477798 | 2016 | 31 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Interest rate changes and stock returns: A European multi-country study with wavelets
ترجمه فارسی عنوان
تغییر نرخ بهره و بازده سهام: یک مطالعه چند کشور اروپایی با موجک
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This paper investigates the linkage between changes in 10-year government bond yields and stock returns for the major European countries in the time-frequency domain by using a number of cross-wavelet tools in the framework of the continuous wavelet transform, mainly the wavelet coherence and phase-difference. The results reveal that the degree of connection between 10-year bond rate movements and stock returns differs considerably among countries and also varies over time and depending on the time horizon considered. In particular, the UK shows the greatest interdependence between long-term interest rates and equity returns across time and frequencies, while the relationship is much weaker for several peripheral European countries such as Portugal, Ireland and Greece. The highest level of connection is observed for most countries since the onset of the recent global financial crisis. In addition, the significant linkage is mainly concentrated at investment horizons from one to 2Â years.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Economics & Finance - Volume 44, July 2016, Pages 1-12
Journal: International Review of Economics & Finance - Volume 44, July 2016, Pages 1-12
نویسندگان
Román Ferrer, Vicente J. Bolós, Rafael BenÃtez,