alexa A Wavelet Analysis for the Relationship between Financial Stress and the Equity Premium in US

Research & Reviews: Journal of Statistics and Mathematical Sciences
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Research Article

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

Heni Boubaker1*, Syed Ali Raza2 and Muhammad Ali2

1IPAG LAB-IPAG Business School, 184, Boulevard Saint-Germain 75006 Paris, France

2Department of Business Administration, IQRA University, Karachi-75300, Pakistan

Corresponding Author:
Heni Boubaker
IPAG LAB-IPAG Business School, 184, Boulevard Saint-Germain 75006 Paris, France
Tel:
+33-609-553-929
E-mail:
[email protected]

Received Date: 04/09/2015; Accepted Date: 09/11/2015; Published Date: 25/11/2015

 

Abstract

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.

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