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Interest rate changes and stock returns in Spain: A wavelet analysis
16 references·4 citing·49 second hop
Interest rate changes and stock returns in Spain: A wavelet analysis (2014)Interest rate changes and stock returns i…The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey (2011)The impact of interest rate a…Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns (2009)Wavelet decomposition and reg…Wavelet analysis of stock returns and aggregate economic activity (2007)Wavelet analysis of stock ret…On neuro-wavelet modeling (2003)On neuro-wavelet modelingThe Interest Rate Exposure of Nonfinancial Corporations (2002)The Interest Rate Exposure of…The theory and practice of corporate finance: evidence from the field (2001)The theory and practice of co…The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income (1998)The Decomposition of Economic…Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)Sensitivity of the bank stock…DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS (1998)DECOMPOSITION OF ECONOMIC REL…The role of exchange and interest risk in equity valuation: A comparative study of international stock markets (1995)The role of exchange and inte…What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns (1993)What Moves the Stock and Bond…What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)What Moves the Stock and Bond…The Pricing of Interest-Rate Risk: Evidence from the Stock Market (1986)The Pricing of Interest-Rate …Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Real Estate Finance (1985)Real Estate FinanceAn Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach (1980)An Empirical Study of the Int…Impact of changes in the level, slope and curvature of interest rates on U.S. sector returns: an asymmetric nonlinear cointegration approach (2019)Impact of changes in the leve…THE INFLUENCE OF INFLATION RATE, BI RATE, AND EXCHANGE RATE CHANGES TO THE FINANCIAL SECTOR STOCK PRICE INDEX RETURN IN THE INDONESIAN STOCK MARKET (2018)THE INFLUENCE OF INFLATION RA…Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states (2018)Does Shariah compliance make …Multivariate Co-movement Between Islamic Stock and Bond Markets Among the GCC: A Wavelet-Based View (2017)Multivariate Co-movement Betw…An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The sensitivity of bank stock returns to market, interest and exchange rate risks (1992)Time and frequency connectedness among oil shocks, electricity and clean energy markets (2020)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Cross dynamics of oil-stock interactions: A redundant wavelet analysis (2012)Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach (2017)Time-localized wavelet multiple regression and correlation (2017)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Adjustment of Consumption to Changing Expectations About Future Income (1981)Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)The contribution of wavelets to the analysis of economic and financial data (1999)Oil and the macroeconomy: using wavelets to analyze old issues (2010)Wavelet-based evidence of the impact of oil prices on stock returns (2013)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Bank holding company performance, risk, and “busy” board of directors (2015)Emission trading and carbon market performance in Shenzhen, China (2017)Public Attention to Environmental Issues and Stock Market Returns (2020)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Dividend yields and expected stock returns (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing (2004)What does futures market interest tell us about the macroeconomy and asset prices? 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this work references cited by second hop

References

  • 2001The theory and practice of corporate finance: evidence from the field5,947 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns892 cited
  • 1993What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns452 cited
  • 1998The Decomposition of Economic Relationships by Time Scale Using Wavelets: Expenditure and Income370 cited
  • 1998DECOMPOSITION OF ECONOMIC RELATIONSHIPS BY TIMESCALE USING WAVELETS347 cited
  • 1986The Pricing of Interest-Rate Risk: Evidence from the Stock Market283 cited
  • 1998Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model251 cited
  • 2007Wavelet analysis of stock returns and aggregate economic activity200 cited
  • 1985Real Estate Finance195 cited
  • 1980An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach175 cited
  • 2011The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey173 cited
  • 2009Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns150 cited
  • 2003On neuro-wavelet modeling123 cited

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  • 1995The role of exchange and interest risk in equity valuation: A comparative study of international stock markets94 cited
  • 2002The Interest Rate Exposure of Nonfinancial Corporations91 cited
  • Cited by

    • 2018Does Shariah compliance make interest rate sensitivity of Islamic equities lower? An industry level analysis under different market states50 cited
    • 2017Multivariate Co-movement Between Islamic Stock and Bond Markets Among the GCC: A Wavelet-Based View40 cited
    • 2019Impact of changes in the level, slope and curvature of interest rates on U.S. sector returns: an asymmetric nonlinear cointegration approach30 cited
    • 2018THE INFLUENCE OF INFLATION RATE, BI RATE, AND EXCHANGE RATE CHANGES TO THE FINANCIAL SECTOR STOCK PRICE INDEX RETURN IN THE INDONESIAN STOCK MARKET29 cited