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2010 | 20 | nr 1 | 97-110
Tytuł artykułu

The Reaction of the WIG Stock Market Index to Changes in the Interest Rates on Bank Deposits

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Determination of the relationship between the money market and capital market is particularly important from the point of view of taking a decision on the location of investment capital. It may help to forecast future states. This study seeks to determine the relationship of the interest rate on deposits in zloty with the WIG stock index and the volume of turnover on the Warsaw Stock Exchange. Analysis of correlation and VAR models are used. Analysis of long-term correlation indicates a negative relationship between the interest rate on deposits in banks and the value of the WIG stock-index. However, this may be spurious. The dependence between these variables may be more complex and should rather be seen as short term. It seems that in general the impact of an increase in interest rates on the value of the WIG index is negative in the short term, just as in the long term. In addition, in the short term these variables can move in the same direction. The results obtained in the research are consistent with results obtained for other national markets. This applies in particular to the relatively weak, negative correlation described above. (original abstract)
Rocznik
Tom
20
Numer
Strony
97-110
Opis fizyczny
Twórcy
  • Koszalin University of Technology, Poland
  • Bank Zachodni WBK
Bibliografia
  • [1] BAE S.C., Interest rate changes and common stock returns of financial institutions: revisited, Journal of Financial Research, 1990, Vol. 13, No. 1, 71-79.
  • [2] CAMPBELL J.Y., AMMER J., What moves the stock and bond markets? A variance decomposition for long-term asset returns, Journal of Finance, 1993, Vol. 48, No. 1, 3-37.
  • [3] HESS P.J., LEE B., Stock returns and inflation with supply and demand disturbances, Review of Financial Studies, 1999, Vol. 12, No. 5, 1203-1218.
  • [4] NASSEH A., STRAUSS J., Stock prices and domestic and international macroeconomic activity: a cointegration approach, Quarterly Review of Economics and Finance, 2000, Vol. 40, No. 2, 229-245.
  • [5] NISSIM D., PENAMN S.H., The association between changes in interest rates, earnings and equity values, Contemporary Accounting Research, 2003, Vol. 20, No. 4, 775-804.
  • [6] SIDDIQUI S., Can interest rates changes help predict future stock price movements: evidence from the German market, Applied Economics Letters, 2003, Vol. 10, No. 4, 209-211.
  • [7] STILLER R.J., BELTRATTI A.E., Stock prices and bond yields: can their comovements be explained in terms of present value models? Journal of Monetary Economics, 1992, Vol. 30, No. 1, 25-46.
  • [8] TOKIC D., Explaining US stock market returns from 1980 to 2005: implications for the next 25 years, Journal of Asset Management, 2005, Vol. 6, No. 6, 418-432.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000167908482
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