Artikel
Interest rate changes and stock returns in Spain: A wavelet analysis
This paper investigates the relationship between changes in interest rates and the Spanish stock market at the industry level over the period from January 1993 to December 2012 using a wavelet-based approach. The empirical results indicate that Spanish industries exhibit, in general, a significant interest rate sensitivity, although the degree of interest rate exposure differs considerably across industries and depending on the time horizon under consideration. In particular, regulated industries such as Utilities, highly indebted industries such as Real Estate, Utilities or Technology and Telecommunications, and the Banking industry emerge as the most vulnerable to interest rates. Further, the link between movements in interest rates and industry equity returns is stronger at the coarsest scales. This finding is consistent with the idea that investors with long-term horizons are more likely to follow macroeconomic fundamentals, such as interest rates, in their investment decisions."
- Sprache
-
Englisch
- Erschienen in
-
Journal: BRQ Business Research Quarterly ; ISSN: 2340-9436 ; Volume: 18 ; Year: 2015 ; Issue: 2 ; Pages: 95-110 ; Barcelona: Elsevier España
- Klassifikation
-
Management
- Thema
-
Wavelets
Interest rates
Stock returns
Industry
Haar á trous wavelet
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Moya-Martínez, Pablo
Ferrer-Lapeña, Roman
Escribano-Sotos, Francisco
- Ereignis
-
Veröffentlichung
- (wer)
-
Elsevier España
- (wo)
-
Barcelona
- (wann)
-
2015
- DOI
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doi:10.1016/j.brq.2014.07.004
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Moya-Martínez, Pablo
- Ferrer-Lapeña, Roman
- Escribano-Sotos, Francisco
- Elsevier España
Entstanden
- 2015
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