The Linear Relationship between Stock Returns and Interest Rates: Evidence from US Stock Markets
The paper studies the linear relationship between stock returns and interest rates using a sample of US market from 2000 to 2008. The methodology of well tested Ordinary Least Square Model is applied. General results have showed a non-lagged significant positive and a one-day lagged significant nega...
| Main Author: | |
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2009
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| Online Access: | https://eprints.nottingham.ac.uk/22874/ |
| _version_ | 1848792467510394880 |
|---|---|
| author | Zhou, Yuhong |
| author_facet | Zhou, Yuhong |
| author_sort | Zhou, Yuhong |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | The paper studies the linear relationship between stock returns and interest rates using a sample of US market from 2000 to 2008. The methodology of well tested Ordinary Least Square Model is applied. General results have showed a non-lagged significant positive and a one-day lagged significant negative correlation between returns and interest rates. And the presence of financial crisis is found to have dramatic influence on this specific correlation. In addition, the maturity term of interest rates are also found influential on this relationship. |
| first_indexed | 2025-11-14T18:44:52Z |
| format | Dissertation (University of Nottingham only) |
| id | nottingham-22874 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T18:44:52Z |
| publishDate | 2009 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-228742018-01-05T05:26:39Z https://eprints.nottingham.ac.uk/22874/ The Linear Relationship between Stock Returns and Interest Rates: Evidence from US Stock Markets Zhou, Yuhong The paper studies the linear relationship between stock returns and interest rates using a sample of US market from 2000 to 2008. The methodology of well tested Ordinary Least Square Model is applied. General results have showed a non-lagged significant positive and a one-day lagged significant negative correlation between returns and interest rates. And the presence of financial crisis is found to have dramatic influence on this specific correlation. In addition, the maturity term of interest rates are also found influential on this relationship. 2009-09-09 Dissertation (University of Nottingham only) NonPeerReviewed application/pdf en https://eprints.nottingham.ac.uk/22874/1/Dissertation.pdf Zhou, Yuhong (2009) The Linear Relationship between Stock Returns and Interest Rates: Evidence from US Stock Markets. [Dissertation (University of Nottingham only)] (Unpublished) |
| spellingShingle | Zhou, Yuhong The Linear Relationship between Stock Returns and Interest Rates: Evidence from US Stock Markets |
| title | The Linear Relationship between Stock Returns and Interest Rates: Evidence from US Stock Markets |
| title_full | The Linear Relationship between Stock Returns and Interest Rates: Evidence from US Stock Markets |
| title_fullStr | The Linear Relationship between Stock Returns and Interest Rates: Evidence from US Stock Markets |
| title_full_unstemmed | The Linear Relationship between Stock Returns and Interest Rates: Evidence from US Stock Markets |
| title_short | The Linear Relationship between Stock Returns and Interest Rates: Evidence from US Stock Markets |
| title_sort | linear relationship between stock returns and interest rates: evidence from us stock markets |
| url | https://eprints.nottingham.ac.uk/22874/ |