The relationship between stock returns and inflation: new evidence from wavelet analysis

By Sangbae Kim, Francis In. 2005

220 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b8290fb1e9f1d9f8db8bc6a374da505dc2d362d9

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Citations in the corpus

The Effect of Macroeconomic Variables on Stock Prices in Emerging Sri Lankan Stock Market (2010, background): “Boudoukh and Richardson (1993), Solnik and Solnik (1997), Engsted and Tanggaard (2002), Kim and In (2005) and Schotman and Schweitzer (2000) examined the relationship between stock returns and inflation over long-horizons and their results support the Fisher Hypothesis as the horizon widens. Samarak”
Assessing the Exchange Rate Exposure of US Multinationals (2013, methodology): “The empirical results of wavelet based regression are discussed in section five and concluding remarks are presented in section six.”
An empirical analysis of dynamic multiscale hedging using wavelet decomposition (2011, background): “More recently, the relationship between stock returns and inflation, (Kim and In, 2005), the co-skewness and co-kurtosis betweenequities and the market at various time-scales, (Galagedera and Maharaj, 2008), the scale dependence of hedge fund market risk and correlation, (Conlonet al., 2008) and…”
Gold, Oil, and Stocks: Dynamic Correlations (2016, unknown): “…2011), and other financial and economic variables or their interactions (Aguiar-Conraria & Soares, 2011; Aguiar-Conraria, Martins, & Soares, 2012; Faÿ, Moulines, Roueff, & Taqqu, 2009; Gallegati, Gallegati, Ramsey, & Semmler, 2011 Kim & In, 2005, 2007; Reboredo & Rivera-Castro, 2014b; Rua, 2010).”
A wavelet-based assessment of market risk: The emerging markets case (2012, methodology): “Recent work using wavelets includes that of, for example, Kim and In (2003, 2005), who investigate the relationship between financial variables and industrial production and between stock returns and inflation, Gençay et al. (2003, 2005) and Fernandez (2005, 2006), who study the CAPM at different…”
Measuring comovement in the time-frequency space (2010, unknown): “Recent work drawing on wavelets includes, Kim and In (2005) who investigate the relationship between stock returns and inflation, Gençay et al. (2005) and Fernandez (2005) study the Capital Asset Pricing Model, Gallegati et al. (2008) and Yogo (2008) resort to wavelets for business cycle analysis,…”