Stock Returns and Inflation in China: Evidence From Wavelet Analysis
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.
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.
- There are currently no refbacks.
If you have already registered in Journal A and plan to submit article(s) to Journal B, please click the CATEGORIES, or JOURNALS A-Z on the right side of the "HOME".
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: email@example.com; firstname.lastname@example.org; email@example.com
Copyright © Canadian Academy of Oriental and Occidental Culture
Address: 758, 77e AV, Laval, Quebec, H7V 4A8, Canada
Telephone: 1-514-558 6138