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Multiscale Relationships Between Stock Returns and Inflations: International Evidence

In: An Introduction to Wavelet Theory in Finance A Wavelet Multiscale Approach

Author

Listed:
  • Francis In

    (Monash University, Australia)

  • Sangbae Kim

    (Kyungpook National University, Korea)

Abstract

This 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.

Suggested Citation

  • Francis In & Sangbae Kim, 2012. "Multiscale Relationships Between Stock Returns and Inflations: International Evidence," World Scientific Book Chapters, in: An Introduction to Wavelet Theory in Finance A Wavelet Multiscale Approach, chapter 8, pages 147-159, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814397841_0008
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