GFH validity for Canada, UK, and Suisse stock markets: Evidence ‎from univariate and panel ARDL models

Malika Neifar and Fatma Hachicha

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we propose a decision support tool for the investor in terms of asset allocation. ‎The key question is to know whether equities are perfect hedge against inflation if either we ‎invest in only one market or if we go to all the considered markets. We chose three democratic ‎countries having common monetary policy based on the Inflation rate stabilization targeting ‎‎(including Canada, UK, and Suisse) over the period 1999M01-2018M04. We see how the ‎stock return evolution is related to inflation rate Pre, during, and Post 2008 Global financial ‎crisis (GFC). Then, some dynamic version of the Generalized Fisher hypothesis (GFH) models ‎are explored by some univariate and panel autoregressive dynamic linear (ARDL) frameworks. ‎We conclude that during crisis period, being on either Suisse or Canadian stock market, ‎investors can have important abnormal gains. Then including the UK in a portfolio allows ‎investors to limit losses caused by inflation in the UK stock market alone. ‎

Keywords: GFH; GFC; Panel and univariate ARDL models; MG and PMG; Canada, UK, and Suisse.‎ (search for similar items in EconPapers)
JEL-codes: C22 C23 G1 G14 G15 (search for similar items in EconPapers)
Date: 2022-09-18
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