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

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2021-12-01 DOI:10.2478/bsrj-2021-0031

Mile Bošnjak, I. Novak, Maja Bašić

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引用次数: 0

Abstract

Abstract Background: Hedging against inflation assumes instruments such as gold, stocks, fixed income securities, and real estate. There still exists a lack of appropriate strategy to hedge against inflation. Objectives: This paper examines the possibilities for hedging against inflation in Croatia offered by the Zagreb Stock Exchange indices. Methods/Approach: Based on monthly data from January 2000 to September 2019 and using a wavelet coherence approach, this paper brings the results across time and frequency domains. Results: Empirical results suggest that inflation was a leading variable in a statistically significant positive correlation between the inflation rate and Crobex returns in 2007-2011. The relationship between Crobex10, Crobis, and Crobistr returns on one side, and the inflation rate on the other side has statistically significant correlations only in specific and different periods, in which respective returns are a leading variable. Conclusions: The results imply that hedging against inflation is rather problematic under current Croatian capital markets conditions. Zagreb Stock Exchange indices could serve as a hedge against inflation for some periods but not during the whole observation period.

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克罗地亚资本市场收益与通货膨胀关系:小波相干分析

背景:对冲通货膨胀的工具包括黄金、股票、固定收益证券和房地产。目前仍缺乏适当的策略来对冲通胀。目的:本文考察了萨格勒布证券交易所指数提供的克罗地亚对冲通货膨胀的可能性。方法/方法:基于2000年1月至2019年9月的月度数据，采用小波相干方法，跨时间域和频域进行分析。结果:实证结果表明，2007-2011年通货膨胀率与Crobex收益率呈显著正相关，通货膨胀率是主要变量。一边是Crobex10、Crobis和Crobistr收益率，另一边是通货膨胀率，两者之间的关系只有在特定的不同时期才具有统计学上的显著相关性，其中各自的收益率是一个领先变量。结论:结果表明，在目前克罗地亚资本市场条件下，对冲通货膨胀是相当有问题的。萨格勒布证券交易所指数在某些时期可以作为对冲通货膨胀的工具，但在整个观察期内不能。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.