Araştırma Makalesi
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Yıl 2020, Cilt 20, Sayı 4, 301 - 317, 30.11.2020
https://doi.org/10.21121/eab.618452

Öz

Kaynakça

  • Acikalin, S., Aktas, R., & Unal, S. (2008). Relationships between stock markets and macroeconomic variables: an empirical analysis of the Istanbul Stock Exchange. Investment Management and Financial Innovations, 5(1), 8-16.Akbas, Y.E. (2013). Borsa getiri orani ve faiz orani arasindaki ilişkinin doğrusal olmayan yöntemlerle analizi: Türkiye örneği. Business and Economics Research Journal, 4(3), 21-40.Aktaş, M., & Akdağ, S. (2013). Türkiye’de ekonomik faktörlerin hisse senedi fiyatlari ile ilişkilerinin araştirilmasi. International Journal of Social Science Research, 2(1), 50-67.Alam, Z. & Rashid, K. (2014). Time series analysis of the relationship between macroeconomic factors and the stock market returns in Pakistan. Journal of Yaşar University, 9(36), 6361-6370.Amata, E.O., Muturi, W., & Mbewa, M (2016). Relationship between macro-economic variables, investor herding behavior and stock market volatility in Kenya. International Journal of Economics, Commerce and Management, 4(8), 36-54.Andrieș, A. M., Ihnatov, I., & Tiwari, A. K. (2014). Analyzing time–frequency relationship between interest rate, stock price and exchange rate through continuous wavelet. Economic Modelling, 41, 227-238.Barakat, M. R., Elgazzar, S. H., & Hanafy, K. M. (2015). Impact of macroeconomic variables on stock markets: Evidence from emerging markets. International Journal of Economics and Finance, 8(1), 195.Bhattacharya, B., & Mukherjee, J. (2002). The nature of the causal relationship between stock market and macroeconomic aggregates in India: An empirical analysis. In 4th annual conference on money and finance, Mumbai (pp. 401-426).Breitung, J., & Candelon, B. (2006). Testing for short-and long run causality: A frequency-domain approach. Journal of Econometrics, 132(2), 363-378.Campbell, J. Y. (1987). Stock returns and the term structure. Journal of financial economics, 18(2), 373-399.Chan, K. C., Norrbin, S. C., & Lai, P. (1997). Are stock and bond prices collinear in the long run? International Review of Economics and Finance, 6(2), 193-201.Chia, R. C. J., & Lim, S. Y. (2015). Malaysian stock price and macroeconomic variables: autoregressive distributed lag (ARDL) bounds test. Kajian Malaysia: Journal of Malaysian Studies, 33(1), 85-103..Çifter, A. & Özün, A. (2008). Estimating the effects of interest rates on share prices in turkey using a multi-scale causality test. Review of Middle East Economics and Finance, 4(2), pp. 68-79.Coşkun, M., Kiracı, K., & Muhammed, U. (2016). Seçilmiş makroekonomik değişkenlerle hisse senedi fiyatları arasındaki ilişki: Türkiye üzerine ampirik bir inceleme.Das, A. (2005). Do stock prices and interest rates possess a common trend?. Recherches Économiques de Louvain/Louvain Economic Review, 71(4), 383-390.Daubechies, I. (1992). Ten lectures on wavelets. Philadelphia: Society for Industrial and Applied Mathematics, 61, 198-202.Erdem, C., Arslan, C. K., & Sema Erdem, M. (2005). Effects of macroeconomic variables on Istanbul stock exchange indexes. Applied Financial Economics, 15(14), 987-994. Evrim-Mandaci, P., Kahyaoglu, H., & Cagli, E. C. (2011). Stock and bond market interactions with two regime shifts: evidence from Turkey. Applied Financial Economics, 21(18), 1355-1368.Flannery, M. J., & James, C. M. (1984). The effect of interest rate changes on the common stock returns of financial institutions. The Journal of Finance, 39(4), 1141-1153.Forson, J., & Janrattanagul, J. (2014). Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand. Contemporary economics, 8(2), 154-174.Gan, C., Lee, M., Yong, H. H. A., & Zhang, J. (2006). Macroeconomic variables and stock market interactions: New Zealand evidence. Investment Management and Financial Innovations, 3(4), 89-101.Gencay, R., Selçuk, F., & Whitcher, B. J. (2002). An introduction to wavelets and other filtering methods in finance and economics. Academic Press.Geweke, J. (1982). Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association, 77(378), 304-313.Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 424-438.Graps, A. (1995). An introduction to wavelets. IEEE Computational Science and Engineering, 2(2), 50-61.Hacker, R. S., & Hatemi-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Economics, 38(13), 1489-1500.Hatemi-J, A. (2008). Tests for cointegration with two unknown regime shifts with an application to financial market integration. Empirical Economics, 35(3), 497-505.Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 1-10.Herve, D. B. G. H., Chanmalai, B., & Shen, Y. (2011). The study of causal relationship between stock market indices and macroeconomic variables in Cote d’Ivoire: Evidence from error-correction models and Granger causality test. International Journal of Business and Management, 6(12), 146.Hosoya, Y. (1991). The decomposition and measurement of the interdependency between second-order stationary processes. Probability Theory and Related Fields, 88(4), 429-444.Humpe, A. & Macmillan, P. (2009) Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan. Applied Financial Economics, 19(2), 111-119.Jammazi, R., Ferrer, R., Jareño, F., & Hammoudeh, S. M. (2017). Main driving factors of the interest rate-stock market Granger causality. International Review of Financial Analysis, 52(1), 260-280.Jammazi, R., Tiwari, A. K., Ferrer, R., & Moya, P. (2015). Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas. The North American Journal of Economics and Finance, 33, 74-93.Jawaid, S. T., & Ul Haq, A. (2012). Effects of interest rate, exchange rate and their volatilities on stock prices: Evidence from banking industry of Pakistan. Theoretical & Applied Economics, 19(8).Kasman, S., Vardar, G., & Tunç, G. (2011). The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey. Economic Modelling, 28(3), 1328-1334.Kumar, N.P. & Puja, P. (2012). The impact of macroeconomic fundamentals on stock prices revisited: An evidence from Indian data. MPRA paper No. 38980, available at http://mpra.ub.uni-muenchen.de/38980/ Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. The Review of Economics and Statistics, 85(4), 1082-1089.Li, Y. H., Hwa, G. H., & Hong, T. S. (2017). The nexus of capital flows, real interest rate and stock price performance: evidence from Malaysia. Advanced Science Letters, 23(4), 2671-2675.Lynge, M. J., and Zumwalt, J. K. (1980). An empirical study of the interest rate sensitivity of commercial bank returns: A multi-index approach. Journal of Financial and Quantitative analysis, 15(3), 731-742.Mallat, S. G. (1989). A theory for multiresolution signal decomposition: the wavelet representation. IEEE transactions on pattern analysis and machine intelligence, 11(7), 674-693.Mohanamani, P., & Sivagnanasithi, T. (2012). Indian stock market and aggregates macroeconomic variables: Time series analysis. IOSR Journal of Economics & Finance, 3(6), 68-74.Moya-Martínez, P., Ferrer-Lapeña, R., & Escribano-Sotos, F. (2015). Interest rate changes and stock returns in Spain: A wavelet analysis. BRQ Business Research Quarterly, 18(2), 95-110.Muradoglu, G., Taşkın, F., & Bigan, I. (2000). Causality between stock returns and macroeconomic variables in emerging markets. Russian & East European Finance and Trade, 36(6), 33-53.Özer, A., Kaya, A., & Özer, N. (2011). Hisse senedi fiyatları ile makroekonomik değişkenlerin etkileşimi. Dokuz Eylül Üniversitesi İİBF Dergisi, 26(1), 163-182.Özer, M., & Kamisli, M. (2015). Frequency domain causality analysis of interactions between financial markets of Turkey. International Business Research, 9(1), 176. DOI: https://doi.org/10.5539/ibr.v9n1p176Özün, A., & Çifter, A. (2006). Bankaların hisse senedi getirirlerinde faiz oranı riski: Dalgacıklar analizi ile Türk bankacılık sektörü üzerine bir uygulama. Bankacılar Dergisi, 59, 3-15.Percival, D. B., & Mofjeld, H. O. (1997). Analysis of subtidal coastal sea level fluctuations using wavelets. Journal of the American Statistical Association, 92(439), 868-880. Poyraz, E., & Tepeli, A. G. Y. (2014). Seçilmiş makro ekonomik göstergelerin borsa İstanbul XU100 endeksi üzerindeki etkisinin analizi. Paradoks Ekonomi, Sosyoloji ve Politika Dergisi, 11(2), 102-128.Rahman, M., & Mustafa, M. (1997). Dynamic linkages and Granger causality between short-term US corporate bond and stock markets. Applied Economics Letters, 4(2), 89-91.Ramsey, J. B. (2014). Functional representation, approximation, bases and wavelets. In Wavelet Applications in Economics and Finance (1-20). New York: Springer International Publishing.Sensoy, A., & Sobaci, C. (2014). Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey. Economic Modelling, 43, 448-457.Soman, K. P., Ramachandran, K. I., & Resmi , N.G. (2010). Insight into wavelets: from theory to practice (3rd Edition). India: PHI Learning Pvt. Ltd.Tiwari, A. K. (2012). Decomposing time-frequency relationship between interest rates and share prices in India through wavelets. MPRA paper No. 2692, available at http://www.iei1946.it/RePEc/ccg/TIWARI%20515_531.pdfTürkyilmaz, S. and Özata, E. (2009). Türkiye’de Para Arzi, Faiz Orani ve Hisse Senedi Fiyatlari Arasindaki Nedensel İlişkilerin Analizi. Sosyal Ekonomik Araştırmalar Dergisi, 8(16), 490-502.Whitcher, B. J. (2005). Waveslim: Basic wavelet routines for one-, two-and three-dimensional signal processing. R Package Version, 1(3).Wong, W. K., Khan, H., & Du, J. (2006). Do money and interest rates matter for stock prices? An econometric study of Singapore and USA. The Singapore Economic Review, 51(01), 31-51.Wongbangpo, P., & Sharma, S. C. (2002). Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries. Journal of Asian Economics, 13(1), 27-51.Yildiz, A. (2014). BIST100 endeksi ile alternatif yatırım araçlarının ilişkisi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(2).

Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey

Yıl 2020, Cilt 20, Sayı 4, 301 - 317, 30.11.2020
https://doi.org/10.21121/eab.618452

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.

Kaynakça

  • Acikalin, S., Aktas, R., & Unal, S. (2008). Relationships between stock markets and macroeconomic variables: an empirical analysis of the Istanbul Stock Exchange. Investment Management and Financial Innovations, 5(1), 8-16.Akbas, Y.E. (2013). Borsa getiri orani ve faiz orani arasindaki ilişkinin doğrusal olmayan yöntemlerle analizi: Türkiye örneği. Business and Economics Research Journal, 4(3), 21-40.Aktaş, M., & Akdağ, S. (2013). Türkiye’de ekonomik faktörlerin hisse senedi fiyatlari ile ilişkilerinin araştirilmasi. International Journal of Social Science Research, 2(1), 50-67.Alam, Z. & Rashid, K. (2014). Time series analysis of the relationship between macroeconomic factors and the stock market returns in Pakistan. Journal of Yaşar University, 9(36), 6361-6370.Amata, E.O., Muturi, W., & Mbewa, M (2016). Relationship between macro-economic variables, investor herding behavior and stock market volatility in Kenya. International Journal of Economics, Commerce and Management, 4(8), 36-54.Andrieș, A. M., Ihnatov, I., & Tiwari, A. K. (2014). Analyzing time–frequency relationship between interest rate, stock price and exchange rate through continuous wavelet. Economic Modelling, 41, 227-238.Barakat, M. R., Elgazzar, S. H., & Hanafy, K. M. (2015). Impact of macroeconomic variables on stock markets: Evidence from emerging markets. International Journal of Economics and Finance, 8(1), 195.Bhattacharya, B., & Mukherjee, J. (2002). The nature of the causal relationship between stock market and macroeconomic aggregates in India: An empirical analysis. In 4th annual conference on money and finance, Mumbai (pp. 401-426).Breitung, J., & Candelon, B. (2006). Testing for short-and long run causality: A frequency-domain approach. Journal of Econometrics, 132(2), 363-378.Campbell, J. Y. (1987). Stock returns and the term structure. Journal of financial economics, 18(2), 373-399.Chan, K. C., Norrbin, S. C., & Lai, P. (1997). Are stock and bond prices collinear in the long run? International Review of Economics and Finance, 6(2), 193-201.Chia, R. C. J., & Lim, S. Y. (2015). Malaysian stock price and macroeconomic variables: autoregressive distributed lag (ARDL) bounds test. Kajian Malaysia: Journal of Malaysian Studies, 33(1), 85-103..Çifter, A. & Özün, A. (2008). Estimating the effects of interest rates on share prices in turkey using a multi-scale causality test. Review of Middle East Economics and Finance, 4(2), pp. 68-79.Coşkun, M., Kiracı, K., & Muhammed, U. (2016). Seçilmiş makroekonomik değişkenlerle hisse senedi fiyatları arasındaki ilişki: Türkiye üzerine ampirik bir inceleme.Das, A. (2005). Do stock prices and interest rates possess a common trend?. Recherches Économiques de Louvain/Louvain Economic Review, 71(4), 383-390.Daubechies, I. (1992). Ten lectures on wavelets. Philadelphia: Society for Industrial and Applied Mathematics, 61, 198-202.Erdem, C., Arslan, C. K., & Sema Erdem, M. (2005). Effects of macroeconomic variables on Istanbul stock exchange indexes. Applied Financial Economics, 15(14), 987-994. Evrim-Mandaci, P., Kahyaoglu, H., & Cagli, E. C. (2011). Stock and bond market interactions with two regime shifts: evidence from Turkey. Applied Financial Economics, 21(18), 1355-1368.Flannery, M. J., & James, C. M. (1984). The effect of interest rate changes on the common stock returns of financial institutions. The Journal of Finance, 39(4), 1141-1153.Forson, J., & Janrattanagul, J. (2014). Selected Macroeconomic Variables and Stock Market Movements: Empirical evidence from Thailand. Contemporary economics, 8(2), 154-174.Gan, C., Lee, M., Yong, H. H. A., & Zhang, J. (2006). Macroeconomic variables and stock market interactions: New Zealand evidence. Investment Management and Financial Innovations, 3(4), 89-101.Gencay, R., Selçuk, F., & Whitcher, B. J. (2002). An introduction to wavelets and other filtering methods in finance and economics. Academic Press.Geweke, J. (1982). Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association, 77(378), 304-313.Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 424-438.Graps, A. (1995). An introduction to wavelets. IEEE Computational Science and Engineering, 2(2), 50-61.Hacker, R. S., & Hatemi-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Economics, 38(13), 1489-1500.Hatemi-J, A. (2008). Tests for cointegration with two unknown regime shifts with an application to financial market integration. Empirical Economics, 35(3), 497-505.Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 1-10.Herve, D. B. G. H., Chanmalai, B., & Shen, Y. (2011). The study of causal relationship between stock market indices and macroeconomic variables in Cote d’Ivoire: Evidence from error-correction models and Granger causality test. International Journal of Business and Management, 6(12), 146.Hosoya, Y. (1991). The decomposition and measurement of the interdependency between second-order stationary processes. Probability Theory and Related Fields, 88(4), 429-444.Humpe, A. & Macmillan, P. (2009) Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan. Applied Financial Economics, 19(2), 111-119.Jammazi, R., Ferrer, R., Jareño, F., & Hammoudeh, S. M. (2017). Main driving factors of the interest rate-stock market Granger causality. International Review of Financial Analysis, 52(1), 260-280.Jammazi, R., Tiwari, A. K., Ferrer, R., & Moya, P. (2015). Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas. The North American Journal of Economics and Finance, 33, 74-93.Jawaid, S. T., & Ul Haq, A. (2012). Effects of interest rate, exchange rate and their volatilities on stock prices: Evidence from banking industry of Pakistan. Theoretical & Applied Economics, 19(8).Kasman, S., Vardar, G., & Tunç, G. (2011). The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey. Economic Modelling, 28(3), 1328-1334.Kumar, N.P. & Puja, P. (2012). The impact of macroeconomic fundamentals on stock prices revisited: An evidence from Indian data. MPRA paper No. 38980, available at http://mpra.ub.uni-muenchen.de/38980/ Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange multiplier unit root test with two structural breaks. The Review of Economics and Statistics, 85(4), 1082-1089.Li, Y. H., Hwa, G. H., & Hong, T. S. (2017). The nexus of capital flows, real interest rate and stock price performance: evidence from Malaysia. Advanced Science Letters, 23(4), 2671-2675.Lynge, M. J., and Zumwalt, J. K. (1980). An empirical study of the interest rate sensitivity of commercial bank returns: A multi-index approach. Journal of Financial and Quantitative analysis, 15(3), 731-742.Mallat, S. G. (1989). A theory for multiresolution signal decomposition: the wavelet representation. IEEE transactions on pattern analysis and machine intelligence, 11(7), 674-693.Mohanamani, P., & Sivagnanasithi, T. (2012). Indian stock market and aggregates macroeconomic variables: Time series analysis. IOSR Journal of Economics & Finance, 3(6), 68-74.Moya-Martínez, P., Ferrer-Lapeña, R., & Escribano-Sotos, F. (2015). Interest rate changes and stock returns in Spain: A wavelet analysis. BRQ Business Research Quarterly, 18(2), 95-110.Muradoglu, G., Taşkın, F., & Bigan, I. (2000). Causality between stock returns and macroeconomic variables in emerging markets. Russian & East European Finance and Trade, 36(6), 33-53.Özer, A., Kaya, A., & Özer, N. (2011). Hisse senedi fiyatları ile makroekonomik değişkenlerin etkileşimi. Dokuz Eylül Üniversitesi İİBF Dergisi, 26(1), 163-182.Özer, M., & Kamisli, M. (2015). Frequency domain causality analysis of interactions between financial markets of Turkey. International Business Research, 9(1), 176. DOI: https://doi.org/10.5539/ibr.v9n1p176Özün, A., & Çifter, A. (2006). Bankaların hisse senedi getirirlerinde faiz oranı riski: Dalgacıklar analizi ile Türk bankacılık sektörü üzerine bir uygulama. Bankacılar Dergisi, 59, 3-15.Percival, D. B., & Mofjeld, H. O. (1997). Analysis of subtidal coastal sea level fluctuations using wavelets. Journal of the American Statistical Association, 92(439), 868-880. Poyraz, E., & Tepeli, A. G. Y. (2014). Seçilmiş makro ekonomik göstergelerin borsa İstanbul XU100 endeksi üzerindeki etkisinin analizi. Paradoks Ekonomi, Sosyoloji ve Politika Dergisi, 11(2), 102-128.Rahman, M., & Mustafa, M. (1997). Dynamic linkages and Granger causality between short-term US corporate bond and stock markets. Applied Economics Letters, 4(2), 89-91.Ramsey, J. B. (2014). Functional representation, approximation, bases and wavelets. In Wavelet Applications in Economics and Finance (1-20). New York: Springer International Publishing.Sensoy, A., & Sobaci, C. (2014). Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey. Economic Modelling, 43, 448-457.Soman, K. P., Ramachandran, K. I., & Resmi , N.G. (2010). Insight into wavelets: from theory to practice (3rd Edition). India: PHI Learning Pvt. Ltd.Tiwari, A. K. (2012). Decomposing time-frequency relationship between interest rates and share prices in India through wavelets. MPRA paper No. 2692, available at http://www.iei1946.it/RePEc/ccg/TIWARI%20515_531.pdfTürkyilmaz, S. and Özata, E. (2009). Türkiye’de Para Arzi, Faiz Orani ve Hisse Senedi Fiyatlari Arasindaki Nedensel İlişkilerin Analizi. Sosyal Ekonomik Araştırmalar Dergisi, 8(16), 490-502.Whitcher, B. J. (2005). Waveslim: Basic wavelet routines for one-, two-and three-dimensional signal processing. R Package Version, 1(3).Wong, W. K., Khan, H., & Du, J. (2006). Do money and interest rates matter for stock prices? An econometric study of Singapore and USA. The Singapore Economic Review, 51(01), 31-51.Wongbangpo, P., & Sharma, S. C. (2002). Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries. Journal of Asian Economics, 13(1), 27-51.Yildiz, A. (2014). BIST100 endeksi ile alternatif yatırım araçlarının ilişkisi. Süleyman Demirel Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 19(2).

Ayrıntılar

Birincil Dil İngilizce
Konular İşletme
Bölüm Araştırma Makalesi
Yazarlar

Remzi GÖK (Sorumlu Yazar)
DİCLE ÜNİVERSİTESİ
0000-0002-9216-5210
Türkiye


Erhan ÇANKAL
YILDIRIM BEYAZIT ÜNİVERSİTESİ
0000-0001-5115-055X
Türkiye

Yayımlanma Tarihi 30 Kasım 2020
Yayınlandığı Sayı Yıl 2020, Cilt 20, Sayı 4

Kaynak Göster

Bibtex @araştırma makalesi { eab618452, journal = {Ege Academic Review}, issn = {1303-099X}, address = {EGE AKADEMİK BAKIŞ DERGİSİ EGE ÜNİVERSİTESİ İKTİSADİ VE İDARİ BİLİMLER FAKÜLTESİ BORNOVA İZMİR}, publisher = {Ege Üniversitesi}, year = {2020}, volume = {20}, pages = {301 - 317}, doi = {10.21121/eab.618452}, title = {Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey}, key = {cite}, author = {Gök, Remzi and Çankal, Erhan} }
APA Gök, R. & Çankal, E. (2020). Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey . Ege Academic Review , 20 (4) , 301-317 . DOI: 10.21121/eab.618452
MLA Gök, R. , Çankal, E. "Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey" . Ege Academic Review 20 (2020 ): 301-317 <https://dergipark.org.tr/tr/pub/eab/issue/57897/618452>
Chicago Gök, R. , Çankal, E. "Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey". Ege Academic Review 20 (2020 ): 301-317
RIS TY - JOUR T1 - Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey AU - Remzi Gök , Erhan Çankal Y1 - 2020 PY - 2020 N1 - doi: 10.21121/eab.618452 DO - 10.21121/eab.618452 T2 - Ege Academic Review JF - Journal JO - JOR SP - 301 EP - 317 VL - 20 IS - 4 SN - 1303-099X- M3 - doi: 10.21121/eab.618452 UR - https://doi.org/10.21121/eab.618452 Y2 - 2020 ER -
EndNote %0 Ege Akademik Bakış Dergisi Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey %A Remzi Gök , Erhan Çankal %T Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey %D 2020 %J Ege Academic Review %P 1303-099X- %V 20 %N 4 %R doi: 10.21121/eab.618452 %U 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 Academic Review 20 / 4 (Kasım 2020): 301-317 . https://doi.org/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. eab. 2020; 20(4): 301-317.
Vancouver Gök R. , Çankal E. Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey. Ege Academic Review. 2020; 20(4): 301-317.
IEEE R. Gök ve E. Çankal , "Granger causal relationship between bond yield changes and equity returns through wavelets analysis: the case of Turkey", Ege Academic Review, c. 20, sayı. 4, ss. 301-317, Kas. 2020, doi:10.21121/eab.618452