Impact of Short-Term Interest Rates on Stock Prices: Evidence from Sri Lanka

摘要：

Study attempts to identify the impact of short-term interest rates which are measured by 91 days, 182 days and 364 days Treasury bill rates on stock prices of Sri Lanka. By this investigation, Multiple Regression Analysis is employed as the key tool and Augment Dickey-Fuller (DF) Unit Root Test, Autocorrelation, and Multicollinearity support the regression results. Study founds that there are weak relationships between short-term interest rates and stock prices of Sri Lanka and correlation between 364 Treasury bill rate and the stock prices indicates a negative relationship. Granger Causality Test reveals that the existence of causality between 364 days Treasury bill rates and stock prices. Findings of this paper provide the literature for prospective researches to investigate the impact of other macroeconomic variables on stock prices of Sri Lanka.

作者: Zhang Chutang Emil Sudath Kumara

作者单位: School of Management,Wuhan University of Technology,Wuhan,P.R.China,430070

会议类型: 国际会议

会议名称: The 7th International Conference on Innovation and Management(第七届创新与管理国际会议 ICIM 2010)

会议地点: 武汉

会议语种:英文

页码: 1089-1093

在线出版日期: 2010-12-04（万方平台首次上网日期，不代表论文的发表时间）