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

Full Text:

PDF

References


Adams, G., McQueen, G., & Wood, R. (2004). The effects of inflation news on high frequency stock returns. Journal of Business, 77(5), 547-574.

Bodie, Z. (1976). Common stock as a hedge against inflation. The Journal of Finance, 31(2), 459-470.

Chui, C. K. (1992). An introduction to wavelets. New York: Academic Press, Inc..

Daubechies, I. (1992). Ten lectures on wavelets. Vermont: Capital City Press.

Geske, R., & Roll, R. (1983). The fiscal and monetary linkage between stock returns and inflation. The Journal of Finance, 38(1), 1-33.

Hernadez, E., & Weiss, G. (1996). A first course on wavelets. New York: CRC Press.

Boudoukh, J., Richardson, M., & Whitelaw, R. (1994). Industry returns and the fisher effect. Journal of Finance, 49(12), 1595-1615.

Mallat, S. G. (1989). Multi-frequency channel decompositions of images and wavelet models. IEEE Transactions on Acoustics, Speech and Signal Processing, 37(12), 2091-2110.




DOI: http://dx.doi.org/10.3968/j.css.1923669720130904.1039

Refbacks

  • There are currently no refbacks.



Share us to:   


Reminder

  • How to do online submission to another Journal?
  • If you have already registered in Journal A, then how can you submit another article to Journal B? It takes two steps to make it happen:

1. Register yourself in Journal B as an Author

  • Find the journal you want to submit to in CATEGORIES, click on “VIEW JOURNAL”, “Online Submissions”, “GO TO LOGIN” and “Edit My Profile”. Check “Author” on the “Edit Profile” page, then “Save”.

2. Submission

  • Go to “User Home”, and click on “Author” under the name of Journal B. You may start a New Submission by clicking on “CLICK HERE”.
  • We only use three mailboxes as follows to deal with issues about paper acceptance, payment and submission of electronic versions of our journals to databases: caooc@hotmail.com; css@cscanada.net; css@cscanada.org

 Articles published in Canadian Social Science are licensed under Creative Commons Attribution 4.0 (CC-BY).

 CANADIAN SOCIAL SCIENCE Editorial Office 

Address: 9375 Rue de Roissy Brossard, Québec, J4X 3A1, Canada 
Telephone: 1-514-558 6138 
Website: Http://www.cscanada.net Http://www.cscanada.org 
E-mailcss@cscanada.net, css@cscanada.org

Copyright © Canadian Academy of Oriental and Occidental Culture