Threshold Effect of Inflation on the Relationship between Stock Market Index and Interest Rate
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Abstract
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DOI: https://doi.org/10.30784/epfad.1581213
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References listed on IDEAS
- Johnson Worlanyo Ahiadorme & Emmanuel Sonyo & Godwin Ahiase, 2019.
"Time Series Analysis of Interest Rates Volatility and Stock Returns in Ghana,"
Emerging Economy Studies, International Management Institute, vol. 5(2), pages 89-102, November.
- Ahiadorme, Johnson Worlanyo & Sonyo, Emmanuel & Ahiase, Godwin, 2019. "Time series analysis of interest rates volatility and stock returns in Ghana," MPRA Paper 94292, University Library of Munich, Germany.
- Charles K.D. Adjasi, 2009. "Macroeconomic uncertainty and conditional stock‐price volatility in frontier African markets," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 10(4), pages 333-349, August.
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Keywords
Stock Market Index; Inflation; Interest Rate; Threshold Regression;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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