A Wavelet Analysis for the Relationship between Financial Stressand the Equity Premium in US

Research & Reviews: Journal of Statistics and Mathematical Sciences

article

Heni Boubaker¹  Syed Ali Raza²  Muhammad Ali² 

[1] IPAG LAB-IPAG Business School;Department of Business Administration, IQRA University

关键词: Wavelet analysis;    Wavelet coherence;    Financial stress;    Equity premium;    United States.;   

来源: Research & Reviews

【 摘 要 】

This study investigates the empirical influence of financial stress on equity premium in the case of United States by using the wavelet transform framework. This new methodology enables the decomposition of timeseries at different time-frequencies. Generally, empirical results show strong evidence of significant linkage between financial stress on the stock markets. These findings confirm that financial stress is majority having the influence over equity premium in short run, but also for both medium and large time horizons.

【 授权许可】

Unknown