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Generalized Fisher Hypothesis Validity for Canada, UK, and Suisse Stock Markets: Evidence from ARDL Models

Article DOI: https://doi.org/10.57017/jorit.v1.1(1).04
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Author(s):
  • Malika NEIFAR Institute of Higher Commercial Studies (IHEC), University of Sfax, Tunisia
  • Fatma HACHICHA Institute of Higher Commercial Studies (IHEC), University of Sfax, Tunisia, University of Sfax, Tunisia
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. We chose three democratic countries having common monetary policy based on the Inflation rate stabilisation 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 is explored by some univariate 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. 


© 2022 The Author(s). Published by RITHA Publishing. This article is distributed under the terms of the license CC-BY 4.0., which permits any further distribution in any medium, provided the original work is properly cited.


How to cite:

Neifar, M., & Hachicha, F. (2022). Generalized Fisher Hypothesis Validity for Canada, UK, and Suisse Stock Markets: Evidence from ARDL Models. Journal of Research, Innovation and Technologies, Volume I, 1(1), 41-48. https://doi.org/10.57017/ jorit.v1.1(1).04


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