Accès libre

Capital Market Returns and Inflation Nexus in Croatia: Wavelet Coherence Analysis

À propos de cet article

Citez

1. Albulescu, C. T., Aubin, C., Goyeau, D. (2017), “Stock prices, inflation and inflation uncertainty in the US: testing the long-run relationship considering Dow Jones sector indexes”, Applied Economics, Vol. 49 No. 18, pp. 1794-1807.10.1080/00036846.2016.1226491 Search in Google Scholar

2. Alchian, A., Kassel, K. (1959), “Redistribution of wealth through inflation”, Science, Vol. 130 No. 3375, pp. 535-539.10.1126/science.130.3375.535 Search in Google Scholar

3. Arnold, S., Auer, B.R. (2015), “What do scientists know about inflation hedging?”, The North American Journal of Economics and Finance, Vol. 34, pp. 187-214.10.1016/j.najef.2015.08.005 Search in Google Scholar

4. Bampinas, G., Panagiotidis, T. (2016), “Hedging inflation with individual US stocks: A long-run portfolio analysis”, North American Journal of Economics and Finance, Vol. 37, pp. 374-392.10.1016/j.najef.2016.05.007 Search in Google Scholar

5. Beckmann, J., Czudaj, R. (2013), “Gold as an inflation hedge in a time-varying coefficient framework”, The North American Journal of Economics and Finance, Vol. 24, pp. 208-222.10.1016/j.najef.2012.10.007 Search in Google Scholar

6. Benazić M (2013), “Testing the Fisher Effect in Croatia: an empirical investigation”, Economic research-Ekonomska istraživanja, Vol. 1 No. 1, pp. 83-102.10.1080/1331677X.2013.11517641 Search in Google Scholar

7. Bhandari, A., Bandi, K. (2018), “On the dynamics of inflation-stock returns in India”, Journal of Quantitative Economics, Vol. 16 No. 1, pp. 89-99.10.1007/s40953-017-0075-6 Search in Google Scholar

8. Bhanja, N., Dar, A. B. (2019), “Stock returns and inflation: a tale of two periods in India”, Economic Change and Restructuring, Vol. 52, pp. 413-438.10.1007/s10644-018-9231-z Search in Google Scholar

9. Bhanja, N., Dar, A. B., Tiwari, A. K. (2012), “Are stock prices hedge against inflation? A revisit over time and frequencies in India”, Central European Journal of Economic Modelling and Econometrics, Vol. 4 No. 3, pp. 199-213. Search in Google Scholar

10. Bodie, Z. (1976), “Common stocks as a hedge against inflation”, The Journal of Finance, Vol. 31 No. 2, pp. 459-470.10.1111/j.1540-6261.1976.tb01899.x Search in Google Scholar

11. Branch, B. (1974), “Common stock performance and inflation: An international comparison”, The Journal of Business, Vol. 47 No. 1, pp. 48-52.10.1086/295607 Search in Google Scholar

12. Bulent Gultekin, N. (1983), “Stock Market Returns and Inflation: Evidence from Other Countries”, The Journal of Finance, Vol. 38 No. 1, pp. 49-65.10.1111/j.1540-6261.1983.tb03625.x Search in Google Scholar

13. Chua, J., Woodward, R. S. (1982), “Gold as an inflation hedge: a comparative study of six major industrial countries”, Journal of Business Finance & Accounting, Vol. 9 No. 2, pp. 191-197.10.1111/j.1468-5957.1982.tb00985.x Search in Google Scholar

14. Cifter, A. (2015), “Stock Returns, Inflation, and Real Activity in Developing Countries: A Markov-Switching Approach”, Panoeconomicus, Vol. 62 No. 1, pp. 55-76.10.2298/PAN1501055C Search in Google Scholar

15. Dempster, N., Artigas, J. C. (2010), “Gold: Inflation hedge and long-term strategic asset”, The Journal of Wealth Management, Vol. 13 No. 2, pp. 69-75.10.3905/jwm.2010.13.2.069 Search in Google Scholar

16. Durai, S. R. S., Bhaduri, S. N. (2009), “Stock prices, inflation and output: Evidence from wavelet analysis”, Economic Modelling, Vol. 26 No. 5, pp. 1089-1092.10.1016/j.econmod.2009.04.005 Search in Google Scholar

17. Fama, E. F. (1981), “Stock returns, real activity, inflation, and money”, The American Economic Review, Vol. 71 No. 4, pp. 545-565. Search in Google Scholar

18. Fernandez-Macho, J. (2012), “Wavelet multiple correlation and cross-correlation: A multiscale analysis of Eurozone stock markets”, Physica A: Statistical Mechanics and its Applications, Vol. 391 No. 4, pp. 1097-1104.10.1016/j.physa.2011.11.002 Search in Google Scholar

19. Ferrer, R., Bolós, V. J., Benítez, R. (2016), “Interest rate changes and stock returns: A European multi-country study with wavelets”, International Review of Economics & Finance, Vol. 44, pp. 1-12.10.1016/j.iref.2016.03.001 Search in Google Scholar

20. Fisher, I. (1930), The theory of interest, Macmillan, London. Search in Google Scholar

21. Gallagher, L. A., Taylor, M. P. (2002), “The stock return-inflation puzzle revisited”, Economics Letters, Vol. 75 No. 2, pp. 147-156.10.1016/S0165-1765(01)00613-9 Search in Google Scholar

22. Geske, R., Roll, R. (1983), “The fiscal and monetary linkage between stock returns and inflation”, The Journal of Finance, Vol. 38 No. 1, pp. 1-33.10.1111/j.1540-6261.1983.tb03623.x Search in Google Scholar

23. Ghosh, D., Levin, E. J., MacMillan, P., Wright, R. E. (2004), “Gold as an inflation hedge?”, Studies in Economics and Finance, Vol. 22 No. 1, pp. 1-25.10.1108/eb043380 Search in Google Scholar

24. Gu, Z., Lu, Y., Zhang, W. (2013), “Stock Returns and Inflation in China: Evidence from Wavelet Analysis”, Canadian Social Science, Vol. 9 No. 4, pp. 69-72. Search in Google Scholar

25. Haniff, N. M., Masih, A. M. M. (2018), “Do Islamic stock returns hedge against inflation? A wavelet approach”, Emerging Markets Finance and Trade, Vol. 54 No. 10, pp. 2348-2366.10.1080/1540496X.2017.1363035 Search in Google Scholar

26. Hong, H. (1977), “Inflation and the market value of the firm”, The Journal of Finance, Vol. 32 No. 4, pp. 1031-1048.10.1111/j.1540-6261.1977.tb03307.x Search in Google Scholar

27. In, F., Kim, S. (2013), “Multiscale Relationships Between Stock Returns and Inflations: International Evidence”, in In, F., Kim, S. (Eds.), Introduction to Wavelet Theory in Finance: A Wavelet Multiscale Approach, World Scientific, pp. 147-159. Search in Google Scholar

28. Ivanov, S. I. (2017), “The study of perfect hedges”, International Journal of Financial Studies, Vol. 5 No. 4, pp. 1-28.10.3390/ijfs5040028 Search in Google Scholar

29. Johnson, G. L., Reilly, F. K., Smith, R. E. (1971), “Individual Common Stocks as Inflation Hedges”, Journal of Financial and Quantitative Analysis, Vol. 6 No. 3, pp. 1015-1024.10.2307/2329917 Search in Google Scholar

30. Kang, S. H., McIver, R. P., Hernandez, J. A. (2019), “Co-movements between Bitcoin and Gold: A wavelet coherence analysis”, Physica A: Statistical Mechanics and its Applications, Vol. 536, 120888.10.1016/j.physa.2019.04.124 Search in Google Scholar

31. Kaul, G. (1987), “Stock returns and inflation: The role of the monetary sector”, Journal of Financial Economics, Vol. 18 No. 2, pp. 253-276.10.1016/0304-405X(87)90041-9 Search in Google Scholar

32. Keynes, J. M. (1936), The General Theory of Employment, Interest and Money, Macmillan. Search in Google Scholar

33. Liu, C. H., Hartzell, D. J., Hoesli, M. E. (1997), “International evidence on real estate securities as an inflation hedge”, Real Estate Economics, Vol. 25 No. 2, pp. 193-221.10.1111/1540-6229.00712 Search in Google Scholar

34. Mansor, H. I. (2011), “Inflation hedging effectiveness of an emerging Asian market: the case of Malaysia”, International Journal of Economics and Business Research, Vol. 3 No. 5, pp. 514-525.10.1504/IJEBR.2011.042315 Search in Google Scholar

35. Mensi, W., Hammoudeh, S., Tiwari, A. K. (2016), “New evidence on hedges and safe havens for Gulf stock markets using the wavelet-based quantile”, Emerging Markets Review, Vol. 28, pp. 155-183.10.1016/j.ememar.2016.08.003 Search in Google Scholar

36. Oudet, B.A. (1973), “Variation of return on stocks in period of inflation”, Journal of Financial and Quantitative Analysis, Vol. 8 No. 2, pp. 247-258.10.2307/2330021 Search in Google Scholar

37. Ramsey, J. B., Lampart, C. (1998), “Decomposition of economic relationships by timescale using wavelets - Money and income”, Macroeconomic Dynamics, Vol. 2 No. 1, pp. 49-71.10.1017/S1365100598006038 Search in Google Scholar

38. Ramsey, J. B., Usikov, D., Zaslavsky, G. M. (1995), “An analysis of us stock-price behavior using wavelets”, Fractals: An Interdisciplinary Journal on The Complex Geometry of Nature, Vol. 3 No. 2, pp. 377-389.10.1142/S0218348X95000291 Search in Google Scholar

39. Schotman, P. C., Schweitzer, M. (2000), “Horizon sensitivity of the inflation hedge of stocks”, Journal of Empirical Finance, Vol. 7 No. 3-4, pp. 301-315.10.1016/S0927-5398(00)00013-X Search in Google Scholar

40. Spierdijk, L., Umar, Z. (2015), “The determinants of foreign trading volume of stocks listed in multiple markets”, Journal of Economics and Business, Vol. 79, pp. 1-37.10.1016/j.jeconbus.2014.12.002 Search in Google Scholar

41. Tarbert, H. (1996), “Is commercial property a hedge against inflation?”, Journal of Property Finance, Vol. 7 No. 1, pp. 77-98.10.1108/09588689610111638 Search in Google Scholar

42. Tiwari, A. K., Dar, A. B., Bhanja, N., Arouri, M., Teulon, F. (2015), “Stock returns and inflation in Pakistan”, Economic Modelling, Vol. 47, pp. 23-31.10.1016/j.econmod.2014.12.043 Search in Google Scholar

43. Tiwari, A.K., Cunado, J., Gupta, R., Wohar, M.E. (2019), “Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data”, Studies in Nonlinear Dynamics & Econometrics, Vol. 23 No. 3, pp. 1-17.10.1515/snde-2017-0049 Search in Google Scholar

44. Tobin, J. (1965), “Money and economic growth”, Econometrica: Journal of the Econometric Society, Vol. 33 No. 4, pp. 671-684.10.2307/1910352 Search in Google Scholar

45. Umar, Z., Kenourgios, D., Naeem, M., Abdulrahman, K., Al Hazaa, S. (2020), “The inflation hedging capacity of Islamic and conventional equities”, Journal of Economic Studies, Vol. 47 No. 6, pp. 1377-1399.10.1108/JES-04-2019-0183 Search in Google Scholar

46. van Rooyen, J. H., Jones, D. L. (2019), “The inflation-hedging ability of individual shares: Evidence from the Johannesburg Stock Exchange (JSE)”, Investment Analysts Journal, Vol. 48 No. 1, pp. 58-73.10.1080/10293523.2018.1525210 Search in Google Scholar

47. Wang, B., Li, H. (2020), “The time-varying characteristics of the Chinese financial cycle and impact from the United States”, Applied Economics, Vol. 52 No. 11, pp. 1200-1218.10.1080/00036846.2019.1659500 Search in Google Scholar

48. Wang, K. M., Lee, Y. M., Thi, T. B. N. (2011), “Time and place where gold acts as an inflation hedge: An application of long-run and short-run threshold model”, Economic Modelling, Vol. 28 No. 3, pp. 806-819.10.1016/j.econmod.2010.10.008 Search in Google Scholar

49. Zaremba, A., Umar, Z., Mikutowski, M. (2019), “Inflation hedging with commodities: A wavelet analysis of seven centuries worth of data”, Economics Letters, Vol. 181, pp. 90-94.10.1016/j.econlet.2019.05.002 Search in Google Scholar

50. Zhao, L. (2017), “Stock returns under hyperinflation: Evidence from China 1945-48”, China Economic Review, Vol. 45, pp. 155-167.10.1016/j.chieco.2017.07.003 Search in Google Scholar