The associations between stock prices, inflation rates, interest rates are still persistent: Empirical evidence from stock duration model

The associations between stock prices, inflation rates, interest rates are still persistent: Empirical evidence from stock duration model

Purpose - This paper aims to examine the effect of both inflation rate and interest rate on stock prices using quarterly data on non-financial firms listed in DJIA30 and NASDAQ100 for the period 1999-2016. The stock duration model is used to measure the sensitivity in variations in inflation rates a...

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Bibliographic Details
Main Authors: Tarek Eldomiaty, Yasmeen Saeed, Rasha Hammam, Salma AboulSoud
Format: Article
Language:English
Published: Emerald Publishing 2020-06-01
Series:Journal of Economics Finance and Administrative Science
Subjects:
stock
rates
djina
nasdaq
cointegration
causality
vecm
inflation rates
real interest rates
stock duration model
cointegration causality
stock prices
dow jones
Online Access:https://www.emerald.com/insight/content/doi/10.1108/JEFAS-10-2018-0105/full/pdf?title=the-associations-between-stock-prices-inflation-rates-interest-rates-are-still-persistent-empirical-evidence-from-stock-duration-model

Internet

https://www.emerald.com/insight/content/doi/10.1108/JEFAS-10-2018-0105/full/pdf?title=the-associations-between-stock-prices-inflation-rates-interest-rates-are-still-persistent-empirical-evidence-from-stock-duration-model

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