Stock Returns and Inflation: A Wavelet Analysis in Tehran Stock Exchange (TSE)

Quarterly Iranian Economic Research, Vol. 43, Summer 2010

27 Pages Posted: 21 Sep 2010 Last revised: 22 Apr 2016

See all articles by Saeed Moshiri

Saeed Moshiri

Saint Thomas More College University of Saskatcehwan

Kamran Pakizeh

Department of Financial Engineering, University of Economc Sciences

Manouchehr Dabirian

affiliation not provided to SSRN

Date Written: September 20, 2010

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 them. 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.

Note: Downloadable document is in Persian.

Keywords: Stock Returns, Inflation, Wavelet Analysis, Correlation, Fisher Hypothesis, TSE

JEL Classification: C32, E31, G12

Suggested Citation

Moshiri, Saeed and Pakizeh, Kamran and Dabirian, Manouchehr, Stock Returns and Inflation: A Wavelet Analysis in Tehran Stock Exchange (TSE) (September 20, 2010). Quarterly Iranian Economic Research, Vol. 43, Summer 2010. Available at SSRN: https://ssrn.com/abstract=1679681

Saeed Moshiri

Saint Thomas More College University of Saskatcehwan ( email )

1437 College Dr
Saskatoon, Saskatchewan S7N 0W6
Canada

Kamran Pakizeh (Contact Author)

Department of Financial Engineering, University of Economc Sciences ( email )

Roudsar St, Hafez Ave
Tehran, 0098
Iran

Manouchehr Dabirian

affiliation not provided to SSRN

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
242
Abstract Views
1,254
rank
137,294
PlumX Metrics