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."
- Language
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Englisch
- Bibliographic citation
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Journal: BRQ Business Research Quarterly ; ISSN: 2340-9436 ; Volume: 18 ; Year: 2015 ; Issue: 2 ; Pages: 95-110 ; Barcelona: Elsevier España
- Classification
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Management
- Subject
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Wavelets
Interest rates
Stock returns
Industry
Haar á trous wavelet
- Event
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Geistige Schöpfung
- (who)
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Moya-Martínez, Pablo
Ferrer-Lapeña, Roman
Escribano-Sotos, Francisco
- Event
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Veröffentlichung
- (who)
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Elsevier España
- (where)
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Barcelona
- (when)
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2015
- DOI
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doi:10.1016/j.brq.2014.07.004
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Moya-Martínez, Pablo
- Ferrer-Lapeña, Roman
- Escribano-Sotos, Francisco
- Elsevier España
Time of origin
- 2015
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