重要事項 Import Notes

重要事項 Import Notes
修習國際金融專題學生,
請務必參見 課程網頁維護重要事項 Import Notes
Registered students MUST see the Import Notes

2015-09-24

The Long Run Relationship Between Stock Market Capitalization Rate and Interest Rate: Co-integration Approach

Toraman, C.,  Başarir, Ç. (2014). The Long Run Relationship Between Stock Market Capitalization Rate and InterestRate: Co-integration Approach. Procedia-Social and Behavioral Sciences, 143, pp.1070-1073.

Abstract
Two critical factors of economic growth are stock exchange and interest rate. This paper investigates the long run relationship between stock market capitalization rate and interest rates in Turkey over the period 1998-2012. Prior to conducting the analysis in a time series, in order to test the stability of the series, a unit root test was initially applied. It is determined that both stock market capitalization rate and interest rate series are not stationary. Long-run relationship is tested by Johansen Co-integration tests. According to the results of the study, there is long-run relationship between stock market capitalization rate and interest rates.

Keywords
Stock Market Capitalization Rate, Interest rates, Cointegration, VAR.
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每位同學必需建立與維護 2 個網頁: (updated on 2010.9.19)
Every registered student MUST post and maintain TWO pages at this site.

1. 你的期末報告想要仿照的原始 paper 重點摘要頁, 見 [範例]
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2. 你的學習紀錄頁, 見 [範例]
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== Posted on 2009.10.05 ==
請同學在你所選的 paper 加上標籤:「已選」
在你的 學習紀錄頁加上標籤:「學習記事」