Stock Returns and Inflation in China: Evidence From Wavelet Analysis

Zheng GU, Yajuan LU, Wei ZHANG

Abstract


The relationship between stock market returns and inflation is investigated using signal decomposition techniques based on wavelet analysis. The relationship is negative in the intermediate time scale, while the relationship in the short and long time scales is different. Overall, the Fisher model holds at the most time scales, implying that stocks are a good hedge against inflation.


Keywords


Stock return; Inflation; Wavelet Analysis

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References


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DOI: http://dx.doi.org/10.3968%2Fj.css.1923669720130904.1039

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