STOCK RETURNS AND INFLATION; A WAVELET ANALYSIS IN TEHRAN STOCK EXCHANGE (TSE)

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MOSHIRI SAEED; PAKIZEH KAMRAN; DABIRIAN MANOOCHEHR; JAFARI ABOLFAZL

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Journal: Iranian Journal of Economic Research Year:2010 | Volume:14 | Issue:42 Page(s): 55-74

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Title

STOCK RETURNS AND INFLATION; A WAVELET ANALYSIS IN TEHRAN STOCK EXCHANGE (TSE)

Author(s)

MOSHIRI SAEED | PAKIZEH KAMRAN | DABIRIAN MANOOCHEHR | JAFARI ABOLFAZL | Issue Writer Certificate

Keywords

STOCK RETURNSQ2

INFLATIONQ2

WAVELET ANALYSISQ2

CORRELATIONQ2

FISHER HYPOTHESISQ2

TSEQ2

Abstract

Investors in stock markets are concerned about the INFLATION effect on their returns.However, the impact varies based on investment horizons. Since investors have different attitudes and diverse investment horizons, studying the relationship between INFLATION and STOCK RETURNS in different time scales would have great implications for their investment. In this paper, we examine the FISHER HYPOTHESIS, which denotes a positive relationship between nominal stock return and INFLATION rate, using a wavelet multi-scaling method that decomposes a given time series on a scale-by-scale basis. The wavelet approach based on time-scale decomposition provides a valuable means of testing the FISHER HYPOTHESIS and resolves the problem of conflicting results in the literature. Our results show a negative relationship between INFLATION and the TSE returns in short-run horizon and a positive relationship in long-run horizon.

Cites

References

ESTIMATING THE RELATION BETWEEN THE RATE OF INFLATION AND RETURNS ON STOCKS IN TEHRAN STOCK EXCHANGE

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APA: Copy

MOSHIRI, SAEED, PAKIZEH, KAMRAN, DABIRIAN, MANOOCHEHR, & JAFARI, ABOLFAZL. (2010). STOCK RETURNS AND INFLATION; A WAVELET ANALYSIS IN TEHRAN STOCK EXCHANGE (TSE). IRANIAN ECONOMIC RESEARCH, 14(42), 55-74. SID. https://sid.ir/paper/2719/en

Vancouver: Copy

MOSHIRI SAEED, PAKIZEH KAMRAN, DABIRIAN MANOOCHEHR, JAFARI ABOLFAZL. STOCK RETURNS AND INFLATION; A WAVELET ANALYSIS IN TEHRAN STOCK EXCHANGE (TSE). IRANIAN ECONOMIC RESEARCH[Internet]. 2010;14(42):55-74. Available from: https://sid.ir/paper/2719/en

IEEE: Copy

SAEED MOSHIRI, KAMRAN PAKIZEH, MANOOCHEHR DABIRIAN, and ABOLFAZL JAFARI, “STOCK RETURNS AND INFLATION; A WAVELET ANALYSIS IN TEHRAN STOCK EXCHANGE (TSE),” IRANIAN ECONOMIC RESEARCH, vol. 14, no. 42, pp. 55–74, 2010, [Online]. Available: https://sid.ir/paper/2719/en

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