INVESTIGATING THE RELATIONSHIP BETWEEN STOCK MARKET RETURNS AND INFLATION IN DIFFERENT TIME SCALES IN TEHRAN STOCK EXCHANGE USING WAVELET TRANSFORM

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

TEHRANI REZA; MOHAMMADI SHAPUR; MOHAMADALIZADEH ARASH

Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: ECONOMIC RESEARCH REVIEW Year:2011 | Volume:11 | Issue:2 (41) Page(s): 225-244

Download Full-Text

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Persian Verion

View:

1,455

Download:

Cites:

Information Journal Paper

Title

INVESTIGATING THE RELATIONSHIP BETWEEN STOCK MARKET RETURNS AND INFLATION IN DIFFERENT TIME SCALES IN TEHRAN STOCK EXCHANGE USING WAVELET TRANSFORM

Author(s)

TEHRANI REZA | MOHAMMADI SHAPUR | MOHAMADALIZADEH ARASH | Issue Writer Certificate

Keywords

STOCK RETURNSQ2

INFLATIONQ2

WAVELET ANALYSISQ2

CORRELATIONQ2

FISHER HYPOTHESISQ2

Abstract

This paper presents a new perspective on the FISHER HYPOTHESIS, which states a positive relationship between nominal STOCK RETURNS and INFLATION. The new approach is based on a wavelet multi scaling method that decomposes a given time series on a scale-by-scale basis. The time series of INFLATION and stock return are decomposed into three wavelet details and one wavelet smooth. Empirical results show that there is a positive relationship between STOCK RETURNS and INFLATION at 2-month period and at 8-month period, while a negative relationship is shown 4-month period. Also, no significant relationship was revealed in one month time horizon.This indicates that the nominal return results are supportive of the FISHER HYPOTHESIS for risky assets in d2 and s3 of the wavelet domain, while the STOCK RETURNS do not play a role as an INFLATION hedge at one month and four month timescales.

Cites

References

No record.

Cite

APA: Copy

TEHRANI, REZA, MOHAMMADI, SHAPUR, & MOHAMADALIZADEH, ARASH. (2011). INVESTIGATING THE RELATIONSHIP BETWEEN STOCK MARKET RETURNS AND INFLATION IN DIFFERENT TIME SCALES IN TEHRAN STOCK EXCHANGE USING WAVELET TRANSFORM. ECONOMIC RESEARCH REVIEW, 11(2 (41)), 225-244. SID. https://sid.ir/paper/67041/en

Vancouver: Copy

TEHRANI REZA, MOHAMMADI SHAPUR, MOHAMADALIZADEH ARASH. INVESTIGATING THE RELATIONSHIP BETWEEN STOCK MARKET RETURNS AND INFLATION IN DIFFERENT TIME SCALES IN TEHRAN STOCK EXCHANGE USING WAVELET TRANSFORM. ECONOMIC RESEARCH REVIEW[Internet]. 2011;11(2 (41)):225-244. Available from: https://sid.ir/paper/67041/en

IEEE: Copy

REZA TEHRANI, SHAPUR MOHAMMADI, and ARASH MOHAMADALIZADEH, “INVESTIGATING THE RELATIONSHIP BETWEEN STOCK MARKET RETURNS AND INFLATION IN DIFFERENT TIME SCALES IN TEHRAN STOCK EXCHANGE USING WAVELET TRANSFORM,” ECONOMIC RESEARCH REVIEW, vol. 11, no. 2 (41), pp. 225–244, 2011, [Online]. Available: https://sid.ir/paper/67041/en

Related Journal Papers