Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation

1992 ◽  
Vol 47 (4) ◽  
pp. 1591-1603 ◽  
Author(s):  
BONG-SOO LEE
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Real Activity ◽  
Causal Relations

A MULTIVARIATE REGIME SWITCHING APPROACH TO THE RELATION BETWEEN THE STOCK MARKET, THE INTEREST RATE AND OUTPUT

2008 ◽  
Vol 11 (07) ◽  
pp. 657-671 ◽  
Author(s):  
ANGELOS KANAS
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Stock Returns ◽  
Regime Switching ◽  
Impulse Responses ◽  
Real Activity ◽  
The Us ◽  
High Volatility ◽  
Dynamic Relations ◽  
The Interest Rate

This paper presents empirical evidence that the relation between stock returns, real activity and interest rates for the US is regime dependent. Fixed exchange rates, and interest rate targeting are associated with a regime in which the joint behavior of these three variables is characterized by low volatility, whilst monetary aggregates targeting is associated with a high volatility regime. Both the contemporaneous and the dynamic relations change across regimes. Regime-dependent dynamic effects arise from interest rates to real activity, from stock returns to real activity and interest rates, and from real activity to interest rates. Dynamic impulse responses also vary across regimes.

scholarly journals STOCK RETURNS, TERM STRUCTURE, INFLATION, AND REAL ACTIVITY: AN INTERNATIONAL PERSPECTIVE

2000 ◽  
Vol 4 (3) ◽  
pp. 343-372 ◽  
Author(s):  
Fabio Canova ◽  
Gianni De Nicoló
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Term Structure ◽  
Asset Returns ◽  
International Perspective ◽  
Policy Implications ◽  
Real Activity ◽  
Inflation Rates ◽  
Points Of View ◽  
The U.S

This paper analyzes the empirical interdependecies among asset returns, real activity, and inflation from multicountry and international points of view. We find that innovations in nominal stock returns are not significantly related to inflation or real activity, that the U.S. term structure of interest rates predicts both domestic and foreign inflation rates and domestic future real activity, and that innovations in inflation do not significantly affect real activity. An interpretation of the dynamics and some policy implications of the results are provided.

scholarly journals Asymmetric Reactions of China’s Stock Market to Short-Term Interest Rates

2016 ◽  
Vol 8 (5) ◽  
pp. 260 ◽  
Author(s):  
Fang Fang ◽  
Weijia Dong ◽  
Xin Lv
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Stock Returns ◽  
Regime Switching ◽  
Developed Countries ◽  
Short Term ◽  
Bear Market ◽  
Bull Market ◽  
Negative Effect ◽  
Markov Regime Switching Model

This paper investigates how China’s stock market reacts to short-term interest rates, as represented by the Shanghai Interbank Offered Rate (Shibor). We adopt the Markov Regime Switching model to divide China’s stock market into Medium, Bull and Bear market; and then examine how Shibor influences market returns and risk in different market regimes. We find that short-term interest rates have a significant negative effect on stock returns in Medium and Bull market, but could not affect stock returns in Bear market. In addition, different maturities of Shibor have different effects on stock returns. Furthermore, we find that the short-term interest rates have a negative effect on market risk in Bull market, but a positive effect in Bear market. Our findings show that China’s market is quite peculiar and distinctive from the U.S. market or other developed countries’ markets in many ways.

scholarly journals Treynor Ratio to Measure Islamic Stock Performance in Indonesia

2019 ◽  
Vol 8 (1) ◽  
pp. 1-13
Author(s):  
Mohammad Farhan Qudratullah
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Capital Market ◽  
The Other ◽  
Islamic Finance ◽  
Ratio Model ◽  
Stock Performance ◽  
Measurement Results ◽  
Domestic Products ◽  
Very High

Treynor Ratio merupakan model pioner inovatif ukuran kinerja saham yang dikemukakan Jack Treynor pada tahun 1965 yang terdiri atas 3 (tiga) komponen, yaitu return saham, return bebas risiko, dan beta saham. Banyak penelitian mendekati return bebas risiko dengan suku bunga termasuk saat mengukur kinerja saham syariah, sedangkan suku bunga dilarang dalam konsep keuangan islam. Tulisan ini membahas variabel alternatif untuk mendekati return bebas risiko selain dengan suku bunga (BI-Rate), yaitu dengan 4 (empat) pendekatan, yaitu: menghilangkan suku bunga, mengganti dengan zakat rate, mengganti dengan inflasi, dan mengganti dengan gross domestic produc (GDP) pada model Treynor Ratio yang diimplementasikan pada pasar modal syariah di Indonesia periode Januari 2011-Juli 2018. Hasil yang diperoleh adalah terdapat kesesuaian yang sangat tinggi hasil pengukuran model Treynor Ratio dengan suku bunga dengan keempat model lainnya. Namun, model-model tersebut tidak menjamin bahwa saham yang memilki kinerja terbaik pada saat ini akan memilki kinerja terbaik dimasa yang akan datang atau sebaliknya. Dilihat dari kedekatan hasil pengukuran kinerjanya, kelima model Treynor Ratio tersebut dapat dikelompokan jadi 2 (dua), yaitu model dengan suku bunga, model dengan inflasi, dan model dengan GDP sebagai kelompok pertama, sedangkan model tanpa suku bunga dan model dengan zakat-rate sebagai kelompok kedua. [Treynor Ratio is an innovative pioneer model the size of stock performance proposed by Jack Treynor in 1965 which consists of 3 (three) components, namely stock returns, risk free returns, and stock beta. Many studies approach risk-free returns with interest rates, including when measuring the performance of Islamic stocks, while interest rates are prohibited in the concept of Islamic finance. This paper discusses alternative variables to approach risk-free returns other than interest rates (BI-Rate), namely with 4 (four) approaches, namely: eliminating interest rates, changing zakat rates, changing inflation, and substituting gross domestic products (GDP) in the Treynor Ratio model that is implemented in the Islamic capital market in Indonesia for the period January 2011 - July 2018. The results obtained are very high conformity in the measurement results of the Treynor Ratio model with interest rates with the other four models. However, these models do not guarantee that stocks that have the best performance at this time will have the best performance in the future or vice versa. Judging from the closeness of the results of performance measurement, the five Treynor Ratio models can be grouped into 2 (two), namely models with interest rates, models with inflation, and models with GDP as the first group, while models without interest rates and models with zakat-rate as second group.]

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