Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey
Yıl: 2020 Cilt: 20 Sayı: 4 Sayfa Aralığı: 301 - 317 Metin Dili: İngilizce DOI: 10.21121/eab.618452 İndeks Tarihi: 29-07-2022
Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey
Öz: This paper re-examines the stock-bond relationship in Turkey by using weekly price observations of stock indices and interest rates over a sample period between 2005-04-01 and 2016-12-30. Considering heterogeneity investment periods, we employed both standard and wavelets methods to provide a deeper understanding. The findings suggest the presence of unit roots in our variables at the level and reveal evidence of the cointegration and a one-way causal relationship in the long-run. Given that the conventional time-domain tests document insignificant results, we employed causality tests on the decomposed series to unearth the true dynamics of causal linkages. Furthermore, the empirical results support the presence of bi-directional causality between the fluctuations in bond yields and equity returns, i.e. they are significant predictors of each other in the medium and long time horizons. The empirical results pertinent to asymmetric causality tests show a one-way causality from the negative shocks in stock prices to the positive shocks in interest rates. Specifically, the results of frequency causality test reveal that the predictive power of the financial index returns on the interest rate changes intensifies across frequencies.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | Gök R, ÇANKAL E (2020). Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey. , 301 - 317. 10.21121/eab.618452 |
| Chicago | Gök Remzi,ÇANKAL ERHAN Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey. (2020): 301 - 317. 10.21121/eab.618452 |
| MLA | Gök Remzi,ÇANKAL ERHAN Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey. , 2020, ss.301 - 317. 10.21121/eab.618452 |
| AMA | Gök R,ÇANKAL E Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey. . 2020; 301 - 317. 10.21121/eab.618452 |
| Vancouver | Gök R,ÇANKAL E Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey. . 2020; 301 - 317. 10.21121/eab.618452 |
| IEEE | Gök R,ÇANKAL E "Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey." , ss.301 - 317, 2020. 10.21121/eab.618452 |
| ISNAD | Gök, Remzi - ÇANKAL, ERHAN. "Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey". (2020), 301-317. https://doi.org/10.21121/eab.618452 |
| APA | Gök R, ÇANKAL E (2020). Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey. Ege Akademik Bakış, 20(4), 301 - 317. 10.21121/eab.618452 |
| Chicago | Gök Remzi,ÇANKAL ERHAN Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey. Ege Akademik Bakış 20, no.4 (2020): 301 - 317. 10.21121/eab.618452 |
| MLA | Gök Remzi,ÇANKAL ERHAN Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey. Ege Akademik Bakış, vol.20, no.4, 2020, ss.301 - 317. 10.21121/eab.618452 |
| AMA | Gök R,ÇANKAL E Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey. Ege Akademik Bakış. 2020; 20(4): 301 - 317. 10.21121/eab.618452 |
| Vancouver | Gök R,ÇANKAL E Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey. Ege Akademik Bakış. 2020; 20(4): 301 - 317. 10.21121/eab.618452 |
| IEEE | Gök R,ÇANKAL E "Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey." Ege Akademik Bakış, 20, ss.301 - 317, 2020. 10.21121/eab.618452 |
| ISNAD | Gök, Remzi - ÇANKAL, ERHAN. "Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey". Ege Akademik Bakış 20/4 (2020), 301-317. https://doi.org/10.21121/eab.618452 |
