Do stock prices and interest rates possess a common trend?

Amaresh Das
Additional contact information
Amaresh Das: Public Policy Institue, Georgetown University, Washington D.C.

No 2005042, Discussion Papers (REL - Recherches Economiques de Louvain) from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

Abstract: This paper empirically captures the interrelationships between the stock markets and interest rates for a set of Asian markets by means of a new technique called co-dependence. It uses a set of data for three countries in Asia - India, Pakistan and Bangladesh, over a time period spanning from 1985 to 2003.

Keywords: Cointegration; co-movement; co-dependence; serial correlation common feature (search for similar items in EconPapers)
JEL-codes: C22 E41 E52 (search for similar items in EconPapers)
Pages: 8
Date: 2005-12-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://sites.uclouvain.be/econ/DP/REL/2005042.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvre:2005042

Access Statistics for this paper

More papers in Discussion Papers (REL - Recherches Economiques de Louvain) from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Place Montesquieu 3, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Sebastien SCHILLINGS (sebastien.schillings@uclouvain.be).