Table 1 Sum up of a selected literature...

Table 1

Sum up of a selected literature review

Reference	Period	Type of data	Model/Method	Hedge?
Gultekin (1983)	1947–1979	TS and CS	OLS	NO with nominal returns
Bodie (1976)	1953–1972	TS	OLS	NO with nominal returns
Fama and Schwert (1977)	1953–1971	TS	Simple regression	NO with nominal returns
Chatrath et al. (1997)	1984–1992	TS	OLS	NO with real returns
Zhao (1999)	1993–1998	TS	ARMA; GARCH	NO with nominal returns
Jaffe and Mandelker (1976)	1953–1971	TS	Multiple regression	NO with nominal returns
Choudhry (1998)	1981–1998	TS	Spectral regression method; Semi-parametric; Gaussian method	- YES with nominal returns - NO with real returns
Spyrou (2004)	1989–2000	TS	Simple regression	YES for some countries with nominal returns
Alagidede and Panagiotidis (2010)	Varies from country to country	TS	Johansen’s multivariate method	YES for 3 African countries with nominal returns
Rushdi et al. (2012)	1969–2008	TS	ARDL	YES for the case of expected inflation with real returns NO for the case of observed inflation with nominal returns
Tiwari et al. (2015)	1961–2012	TS	Causality and continuous Wavelet transform	YES with real returns
Bampinas and Panagiotidis (2016)	1993–2012	TS	OLS regression; Quantile regression	YES with nominal returns
Salisu et al. (2019)	2009–2019	TS and PD	Simple regression; Threshold-based regression models	YES
Salisu et al. (2020)	Not specified	TS and PD	Linear regression; Asymmetric model	YES after GFC with real returns
Eldomiaty and AboulSoud (2020)	1999–2016	TS	Johansen cointegration; Granger causality; VECM	NO with nominal returns
Neifar and Hachicha (2022)	1999–2018	TS and PD	ARDL model; MG; PMG	YES during 2008 GFC for the case of three developed countries with nominal returns
Chiang (2023b)	1990–2022	TS	GARCH; - APARCH-M	NO with real returns
Almeida et al. (2024)	1953–2023	TS	Fractional Cointegrating Vector Autoregressive (FCVAR)	YES with real returns
Abdali and Alm (2024)	2000–2023	TS	Linear regression models	NO with nominal returns
Farahani et al. (2023)	2020–2021	TS and PD	Mixed data sampling (MIDAS) regression model	YES with nominal returns
Chiang (2023)	1989–2023	TS	GED-APARCH	NO with both Nominal and Real return
Chola (2024)	2001–2021	TS	Johansen Tests	NO with nominal returns

Reference	Period	Type of data	Model/Method	Hedge?
Gultekin (1983)	1947–1979	TS and CS	OLS	NO with nominal returns
Bodie (1976)	1953–1972	TS	OLS	NO with nominal returns
Fama and Schwert (1977)	1953–1971	TS	Simple regression	NO with nominal returns
Chatrath et al. (1997)	1984–1992	TS	OLS	NO with real returns
Zhao (1999)	1993–1998	TS	ARMA; GARCH	NO with nominal returns
Jaffe and Mandelker (1976)	1953–1971	TS	Multiple regression	NO with nominal returns
Choudhry (1998)	1981–1998	TS	Spectral regression method; Semi-parametric; Gaussian method	- YES with nominal returns - NO with real returns
Spyrou (2004)	1989–2000	TS	Simple regression	YES for some countries with nominal returns
Alagidede and Panagiotidis (2010)	Varies from country to country	TS	Johansen’s multivariate method	YES for 3 African countries with nominal returns
Rushdi et al. (2012)	1969–2008	TS	ARDL	YES for the case of expected inflation with real returnsNO for the case of observed inflation with nominal returns
Tiwari et al. (2015)	1961–2012	TS	Causality and continuous Wavelet transform	YES with real returns
Bampinas and Panagiotidis (2016)	1993–2012	TS	OLS regression; Quantile regression	YES with nominal returns
Salisu et al. (2019)	2009–2019	TS and PD	Simple regression; Threshold-based regression models	YES
Salisu et al. (2020)	Not specified	TS and PD	Linear regression; Asymmetric model	YES after GFC with real returns
Eldomiaty and AboulSoud (2020)	1999–2016	TS	Johansen cointegration; Granger causality; VECM	NO with nominal returns
Neifar and Hachicha (2022)	1999–2018	TS and PD	ARDL model; MG; PMG	YES during 2008 GFC for the case of three developed countries with nominal returns
Chiang (2023b)	1990–2022	TS	GARCH; - APARCH-M	NO with real returns
Almeida et al. (2024)	1953–2023	TS	Fractional Cointegrating Vector Autoregressive (FCVAR)	YES with real returns
Abdali and Alm (2024)	2000–2023	TS	Linear regression models	NO with nominal returns
Farahani et al. (2023)	2020–2021	TS and PD	Mixed data sampling (MIDAS) regression model	YES with nominal returns
Chiang (2023)	1989–2023	TS	GED-APARCH	NO with both Nominal and Real return
Chola (2024)	2001–2021	TS	Johansen Tests	NO with nominal returns

Note(s): TS: time series and PD: panel data. CS: cross section. No: Fisher’s hypothesis not validated. Yes: the opposite of No. OLS: ordinary least square. ARDL: autoregressive dynamic linear. MG: mean group. PMG: pooled mean group. GARCH: generalized autoregressive conditional heteroscedastic

Source(s): Authors’ elaboration

[ViewLarge]

Sharing Unavailable