Interest Rate Volatility and Stock Returns: A GARCH (1,1) Model
The present study attempts to examine the dual impact of changes in interest rate and interest rate volatility on the mean and variance of portfolio stock returns. The study period is from 1st April 1996 to 30th August 2014 covering a total period of approximately 18 years. Sample used in the study...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Ramanujan College, University of Delhi, Delhi, India
2017-11-01
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| Series: | Ramanujan International Journal of Business and Research |
| Subjects: | |
| Online Access: | https://rijbr.in/1/article/view/133/133 |