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Do stock prices and interest rates possess a common trend ?

Published online by Cambridge University Press:  17 August 2016

Amaresh Das
Amaresh Das*
Affiliation:
Public Policy Institute, Georgetown University, Washington D.C.
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Summary

This paper empirically captures the interrelationships between the stock markets and interest rates for a set of Asian markets by means of a new technique called co-dependence. It uses a set of data for three countries in Asia – India, Pakistan and Bangladesh, over a time period spanning from 1985 to 2003.

Résumé

Résumé

Cet article montre empiriquement les interrelations entre les marchés des actions et les taux d'intérêts pour un ensemble de marchés asiatiques, en utilisant une nouvelle technique appelée co-dépendance. Elle utilise les données de trois pays d'Asie – l'Inde, le Pakistan et le Bangladesh – sur une période couvrant les années 1985 à 2003.

Keywords

cointégrationco-mouvementco-dépendancecorrélation en sériesC22E41E52cointegrationco-movementco-dependenceserial correlation common featureC22E41E52
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 71 , Issue 4 , 2005 , pp. 383 - 390
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 2005 

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Footnotes

*

In revising the paper I have had the benefit of detailed and useful suggestions from an anonymous referee.

References

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