GRANGER CAUSALITY RELATION BETWEEN INTEREST RATES AND STOCK MARKETS: EVIDENCE FROM EMERGING MARKETS
Journal Title: European Journal of Business and Social Sciences - Year 2014, Vol 2, Issue 10
Abstract
This research analyses the granger cause relation between interest rates and stock market for four emerging markets as Turkey, Brasil, China and Hungary. The database includes daily prices of stock market indices of BIST100 Index (Turkey), the IBOV Index (Brasil), the SHCOMP Index (China), and the BUX Index (Hungary) and government securities with different maturities. As the initial step, the stationarity of the variables is tested with Augmented DickeyFuller (ADF) and Phillips-Perron (PP) unit root tests. Then Granger Causality is implemented.
Authors and Affiliations
Assoc. Prof. Dilek Leblebici Teker| (Corresponding Author) Isık University Department of Management dilek.teker@isikun.edu.tr, Assoc. Prof. Elcin Aykac Alp| Istanbul Commerce University Department of Economics ealp@ticaret.edu.tr
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