Multiscale Relationships Between Stock Returns and Inflations: International Evidence

Francis In and Sangbae Kim
Additional contact information
Francis In: Monash University, Australia
Sangbae Kim: Kyungpook National University, Korea

Chapter 8 in An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach, 2012, pp 147-159 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis chapter examines the Fisher hypothesis for four industrialized countries using the wavelet correlation and the multiscale hedge ratio. It is found that we find that at lower scales, the Fisher hypothesis is supportive in most countries, while at longer scales, it is only supportive in the US. The result for the US is consistent with Kim and In (2005b). From this result, it is concluded that the role of stock returns as an inflation hedge depends on the time scales and on the specific country.

Keywords: Wavelets; Finance; Economics; Wavelet Analysis; Multiscaling Method (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789814397841_0008 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789814397841_0008 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789814397841_0008

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().