Stock returns and interest rates around the World: A panel data approach

Assefa, Tibebe A.; Esqueda, Omar A.; Mollick, André Varella

doi:10.1016/j.jeconbus.2016.10.001

Cited by 51 publications

(43 citation statements)

References 66 publications

(61 reference statements)

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“…The negative and significant signs of both variables correlate to the findings of Huang et al (Huang et al, 2016), which imply that the U.S. stock market responds negatively to interest rates. Furthermore, Assefa et al (Assefa et al, 2017) find statistically significant, negative effects of interest rates on stock returns in developed countries. These negative effects on stock returns are consistent with the expected cash flow hypothesis.…”

Section: Resultsmentioning

confidence: 99%

“…According to Bernanke and Reinhart (Bernanke & Reinhart, 2004), current interest rates can influence asset prices. Moreover, Assefa et al (Assefa et al, 2017) find that interest rates have significant effects on stock returns in developed economies.…”

Section: Introductionmentioning

confidence: 99%

“…Assefa et al (Assefa et al, 2017) explain that monetary policy, through interest rates, tends to affect the returnsand hence pricesof financial assets, thereby influencing economic decisions and growth. Sellin (Sellin, 2001) also surveys the literature on monetary policy and stock prices.…”

Section: Introductionmentioning

confidence: 99%

“…There are two main reasons for revisiting the relationship between the equity market and interest rates. First, a significant volume of literature developed by Chen, Roll and Ross (Chen et al, 1986), Campbell and Ammer (Campbell & Ammer, 1993), Thorbecke (Thorbecke, 1997), Laopodis (Laopodis, 2013), Huang et al (Huang et al, 2016), and Assefa et al (Assefa et al, 2017) focuses on the effects of macro-variables on stock prices.…”

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration

Türsoy

2019

Financ Innov

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This paper demonstrates a significant, long-running relationship between stock prices and domestic interest rates in Turkey's financial markets for the period of 2001 M1 -2017 M4. Cointegration analysis is investigated using the autoregressivedistributed lag bounds (ARDL Bounds) test and vector autoregressive cointegration. Additionally, cointegrating equations such as the fully modified ordinary least square, dynamic ordinary least squares, and canonical cointegrating regression are applied to check the long-run elasticities in the concerned relationship. The ARDL Bounds and Johansen Cointegration test results show that, dynamically, both prices are significantly related to each other. The cointegrating equation outcomes demonstrate elasticities whereby both coefficients have negative signs. Additionally, the same results are corroborated by the impulse response where all variables respond negatively to each other.

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Section: Resultsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration

Türsoy

2019

Financ Innov

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“…From 1999 to 2013, Assefa, Esqueda and Mollick (2017) examine the quarterly returns of 21 developed and 19 developing countries [45]. Low economic growth and declining interest rate in developed countries while low output growth with increasing interest rate in developing economies.…”

Section: Review Of the Empirical Literaturementioning

confidence: 99%

Macroeconomic Analysis of Interest Rate and Economic Growth in Nigeria: A Time Series Approach

Idris¹

2019

IJFBR

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This study examines the impact of interest rate on economic growth in Nigeria using annual time series data spanning 1980 to 2017. This phenomenon is particularly interesting from a theoretical standpoint as well as for the understanding of financial market mechanisms. The Vector Autoregression (VAR) model and the Granger causality test are employed to estimate the model coefficients and measure the causal relationship among the concerned variables. From the VAR-based impulse response function and its corresponding variance decomposition estimates, result shows the existence of negative relationship between interest rate and economic growth in Nigeria. In addition, the Granger causality test indicates the presence of bi-directional causal relationship between interest rate and economic growth. Consequently, monetary authorities should designed and implement interest rate policies that enhance investment and take into cognisance other elements that retard investment progression. To attain the desired growth level in Nigeria, monetary authorities and policy makers should adopt policy measures that are growth oriented and have the potentials to accelerate the economy to higher productivity and sustainable economic growth.

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Stock returns and interest rate differential in high and low interest rate environments

Salisu

Sikiru²

2021

Int. J Fin Econ

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In this study, we contribute to the literature in three ways. First, we test whether the response of stock returns to interest rate differential contrasts between high and low interest rate environments. Second, we further test whether positive and negative interest rate differentials impact differently on stock returns. For completeness, we examine the role of negative interest rate policy in the nexus by testing whether the response of stock returns to interest rate differential varies between negative and positive low interest rate environments. The third objective becomes necessary as negative interest rate may not

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Stock returns and interest rates around the World: A panel data approach

Cited by 51 publications

References 66 publications

The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration

The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration

Macroeconomic Analysis of Interest Rate and Economic Growth in Nigeria: A Time Series Approach

Stock returns and interest rate differential in high and low interest rate environments

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