Figure - uploaded by Carsten Fritz
Content may be subject to copyright.
Source publication
With inflation rates remaining close to zero in all major developed economies for long periods of time, especially from 1998 - 2015, investors have become increasingly concerned about the potential effects of deflation on asset value. Negative inflation rates were observed between 1998 and 2009 in Hong Kong and Japan, and those economies faced seve...
Contexts in source publication
Context 1
... second predictive variable of the regression model provides additional information about the sensitivity of the nominal asset return to unexpected changes in consumer prices. Table 1 summarizes the abovementioned dependence of hedge characteristics on the regression coefficient value and direction of changes in consumer prices. ...Context 2
... the null hypothesis can be rejected statistically, it will indicate that the i th investment is either a positive or negative hedge against expected inflation, depending on the sign of the estimated parameter (see Table 1). The second test evaluates the influence exerted by unexpected changes in consumer prices: ...Similar publications
There have been many improvements and advancements in the application of neural networks in the mining industry. In this study, two advanced deep learning neural networks called recurrent neural network (RNN) and autoregressive integrated moving average (ARIMA) were implemented in the simulation and prediction of limestone price variation. The RNN...
Covid-19 pandemic is a huge setback for the global economy. This essay investigates the distinct impacts of the COVID-19 pandemic on China’s catering and pharmaceutical industries using time series models. It highlights how the pandemic differently influenced these sectors, with the catering industry experiencing a significant downturn and the phar...
Finding the best model to predict the trend of stock prices is an issue that has always garnered attention, and it is also closely related to investors’ investment dynamics. Even the commonly used autoregressive integrated moving average (ARIMA), extreme gradient boosting (XGBoost), and long short-term memory (LSTM) have their own advantages and di...
Tesla currently stands among the world's most prominent corporations, especially in the development of new energy sources and the automotive industry. With the company's growth rising, the value of its stock has become a major focus for investors. There are many ways to predict stock prices, but most of them are more subjective and based on persona...
After a policy of easing COVID-19 restrictions was issued in China in December 2022, many people were infected by the virus sooner or later, and medical resources became extremely scarce. This paper aims to investigate the relationship between the easing of restrictions in the Zero-COVID policy and the pharmaceutical industry index. The paper predi...
Citations
... Residential property prices and stock prices are also found to behave differently in other countries, as reported in Bahmani-Oskooee and Ghodsi (2018),Fleischmann et al. (2019), and so on and so forth. ...
We investigate the profitability of momentum strategies in the market for single-family homes by using 10 city-level Case-Shiller home price indices (HPIs). Compared with the momentum strategies based on the Fama-French 10-industry portfolios of stocks, the profits from the single-family HPIs are more statistically significant, less sensitive to the construction methods of the momentum strategies and more correlated across different strategies. The momentum profits from the HPIs tend to be counter-cyclical, unlike the pro-cyclical behaviors of the momentum profits from stock portfolios. The differences in the momentum profits with HPIs and stocks indicate that a momentum strategy with the former can help diversify the risk in the asset portfolio of investors.
... Robiyanto (2018) use both the ordinary least square (OLS) and quantile regression (QREG) approaches to explore the function of gold as a safe haven and hedge for Sharia stocks in Indonesia and finds that gold can indeed serve as both a hedge and safe haven asset. Fleischmann et al. (2019) use an autoregressive integrated moving average (ARIMA) model to examine whether real estate, stocks and bonds offer a deflation hedge for Hong Kong and Japan from 1986 to 2009 and find that real estate is not an effective hedge against deflation. Adrangi et al. (2004) examine the relationship between equity and mortgage REIT returns and inflation. ...
This study examines the causal relationship between gold and real estate investment trust (REIT) returns. In particular, the paper uses a nonparametric causality-in-quantile approach to explore whether gold could serve as a hedging tool against movements in REIT returns. The results provide supportive evidence of bidirectional and asymmetric causality-in-variance between gold and REIT returns. There is evidence of asymmetric causality-in-mean between gold and All REITs, and equity REIT returns. The results from the full sample nonlinear Granger causality test indicate that gold and REIT returns have a causal influence on each other. Taken together, the results imply that gold investment could serve as a hedge against volatilities in the REIT market and vice versa.
