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Are Stock Prices Hedge Against Inflation? A Revisit over Time and Frequencies in India

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Author Info

  • Niyati Bhanja

    (Department of Economics, Pondicherry University, India)

  • Arif Billah Dar

    (Department of Economics, Pondicherry University, India)

  • Aviral Kumar Tiwari

    ()
    (ICFAI University Tripura, India)

  • Olaolu Richard Olayeni

    (Department of Economics, Obafemi Awolowo University, Nigeria)

Abstract

In this paper, the stock price-inflation nexus is investigated using the tools of wavelet power spectrum, cross-wavelet power spectrum and cross-wavelet coherency to unravel time and frequency dependent relationships between stock prices and inflation. Our results suggest that for a frequency band between sixteen and thirty two months, there is some evidence of the fisher effect. For rest of the frequencies and time periods however there is no evidence of the fisher effect and it seems stock prices have not played any role as an inflation hedge.

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Bibliographic Info

Article provided by CEJEME in its journal Central European Journal of Economic Modelling and Econometrics.

Volume (Year): 4 (2012)
Issue (Month): 3 (September)
Pages: 199-213

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Handle: RePEc:psc:journl:v:4:y:2012:i:3:p:199-213

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Web page: http://cejeme.org/

Related research

Keywords: Stock prices; inflation; Fisher effect; Indian stock markets; continuous wavelet transform; wavelet coherency;

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  1. Luís Francisco Aguiar-Conraria & Maria Joana Soares & Nuno Azevedo, 2007. "Using Wavelets to decompose time-frequency economic relations," NIPE Working Papers 17/2007, NIPE - Universidade do Minho.
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Cited by:
  1. Mohamed Arouri & Aviral Kumar Tiwari & Arif Billah Dar & Niyati Bhanja & FrédéricTeulon, 2014. "Stock returns and Inflation in Pakistan," Working Papers 2014-108, Department of Research, Ipag Business School.

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