GFH validity for Canada, UK, and Suisse stock markets: Evidence ‎from univariate and panel ARDL models

NEIFAR, MALIKA and HACHICHA, Fatma (2022): GFH validity for Canada, UK, and Suisse stock markets: Evidence ‎from univariate and panel ARDL models.

Abstract

In this paper we propose a decision support tool for the investor in terms of asset allocation. ‎The key question is to know whether equities are perfect hedge against inflation if either we ‎invest in only one market or if we go to all the considered markets. We chose three democratic ‎countries having common monetary policy based on the Inflation rate stabilization targeting ‎‎(including Canada, UK, and Suisse) over the period 1999M01-2018M04. We see how the ‎stock return evolution is related to inflation rate Pre, during, and Post 2008 Global financial ‎crisis (GFC). Then, some dynamic version of the Generalized Fisher hypothesis (GFH) models ‎are explored by some univariate and panel autoregressive dynamic linear (ARDL) frameworks. ‎We conclude that during crisis period, being on either Suisse or Canadian stock market, ‎investors can have important abnormal gains. Then including the UK in a portfolio allows ‎investors to limit losses caused by inflation in the UK stock market alone. ‎

• Item Type: MPRA Paper
• Language: English
• Keywords: GFH; GFC; Panel and univariate ARDL models; MG and PMG; Canada, UK, and Suisse.‎
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; G - Financial Economics > G1 - General Financial Markets; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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