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Journals / Doğuş Üniversitesi Dergisi / 2014 / Cilt: 15 - Sayı: 2

THE RELATION BETWEEN STOCK RETURNS AND CHANGES IN BOND YIELD IN TURKEY

TÜRKİYE'DE PAY GETİRİLERİ VE TAHVİL FAİZİ DEĞİŞİMLERİ ARASINDAKİ İLİŞKİ

CUMHUR ENİS EKİNCİ
Evrim Hilal ERDAMAR
Pages
223–234
DOI
—
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

Moreover, the direction and level of the relation change for extreme returns.

📌 3 Key Takeaways

🎯
Objective & Hypothesis:The relation between stock returns and changes in bond yield can be either negative (due to the similarity in valuation methods) or positive (due to the fact that stocks and bonds are substitute investments).
📊
Key Findings & Data:In this study, we provide evidence that this relation is mainly negative, time varying, lower in the period after the Global Financial Crisis of 2007 and shows differences across sectoral indices.
💡
Conclusion & Impact:Moreover, the direction and level of the relation change for extreme returns.
🔬Design:Research Article
📍Scope:2007 Verileri
⚙️Variables:Domain Parameters

Abstract

The relation between stock returns and changes in bond yield can be either negative (due to the similarity in valuation methods) or positive (due to the fact that stocks and bonds are substitute investments). In this study, we provide evidence that this relation is mainly negative, time varying, lower in the period after the Global Financial Crisis of 2007 and shows differences across sectoral indices. Moreover, the direction and level of the relation change for extreme returns.

Özet

Pay getirileri ile tahvil faizi değişimleri arasında, fiyatlama modellerindeki benzerlik nedeniyle negatif, pay ve tahvilin alternatif yatırım araçları olması nedeniyle pozitif ilişki mümkün olabilir. Bu çalışmada, ilişkinin ters yönlü olduğu, zaman içinde değişkenlik gösterdiği, 2007 Küresel Finans Krizi sonrasında zayıfladığı ve sektör bazında farklılık gösterebildiği bulgulanmıştır. Ayrıca, uç getiriler söz konusu olduğunda, ilişkinin yönü ve düzeyi değişmektedir.

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Cite This Article

EKİNCİ, C. E., ERDAMAR, E. H. (2014). THE RELATION BETWEEN STOCK RETURNS AND CHANGES IN BOND YIELD IN TURKEY. Doğuş Üniversitesi Dergisi, Cilt: 15 - Sayı: 2, 223–234. https://ajindex.com/articles/132572

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