Fretting fatigue is the phenomenon of crack initiation due to dynamic contact loading, a situation which is commonly encountered in mechanical couplings subjected to vibration. The study of fretting fatigue in high frequency regime has gained importance in recent years. However the stress wave effects at high frequency loading is scanty in the literature. The objective of present investigation is to study stress wave propagation in cylinders with reference to high frequency fretting. The case of a coated cylinder is considered since coating is often provided to improve tribological properties of the component. Rule of mixtures is proposed to understand the dispersion phenomenon in coated or layered cylinder knowing the dispersion relation for the cases of homogeneous cylinders made of coating and substrate materials separately. The possibility of stress wave propagation at the interface with a particular phase velocity without dispersion is also discussed. Results are given for two different thicknesses of coating.