There has been a substantial amount of research on the
interrelationships between the main stock markets and onthe interdependence of the main bond markets around the world. However, there have been very few papers that have investigated the relationship between an individual country’s stock market and interest rate, then compared this
interrelationship over a number of countries. As market across countries become more closely related due to technical progress and widespread financial deregulation, so
different financial markets within countries should also become more closely integrated.The aim of this paper is to determine whether stock prices and interest rates share common trend or commoncycle. The cointegration technique isused to test for a long -run common trend, and codependence analysis is used to test for a short-run common cycle. Co-dependence hasbeen used by Vahid and Engle (1993)among others, to analyse common cycles between output and consumption. As both interest rates and stock prices are related to thebusiness cycle, it would theoretically beexpected that both should follow a cyclical pattern
