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

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  • NEIFAR, MALIKA
  • HACHICHA, Fatma

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. ‎

Suggested Citation

  • NEIFAR, MALIKA & HACHICHA, Fatma, 2022. "GFH validity for Canada, UK, and Suisse stock markets: Evidence ‎from univariate and panel ARDL models," MPRA Paper 114613, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:114613
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    More about this item

    Keywords

    GFH; GFC; Panel and univariate ARDL models; MG and PMG; Canada; UK; and Suisse.‎;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G1 - Financial Economics - - General Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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