Advanced Search
MyIDEAS: Login

Rendements boursiers et inflation

Contents:

Author Info

  • Beaulieu, Marie-Claude

    (Département de finance et assurance, Université Laval)

Registered author(s):

    Abstract

    Using data from the United States and other industrialized countries, Fama and Schwert (1977) and Solnik (1983) found that stock markets performed poorly during periods of inflation. In their studies stock market returns were negatively correlated with inflation. This paper evaluates whether Fama and Schwert's results apply to some developing countries. The relationship between inflation (expected and unexpected) and stock market returns is tested correcting for the presence of heteroscedasticity and accounting for important events affecting stock market prices. The empirical evidence indicates that the fiscal regime in a country is important for a positive relation to exist between stock market returns and inflation. L’évidence américaine (Fama et Schwert, 1977) et celle d’autres pays industrialisés (Solnik, 1983) identifie une piètre performance des marchés boursiers en période d’inflation. Dans ces études, les rendements boursiers sont négativement corrélés avec l’inflation anticipée et non anticipée. Cet article évalue si la même relation existe dans certains pays en émergence. La présence d’un lien entre l’inflation (anticipée et non anticipée) et les rendements boursiers est testée en corrigeant pour l’hétéroscédasticité et en tenant compte d’événements importants affectant le prix des titres boursiers. L’évidence empirique indique que le régime fiscal d’un pays est important pour l’obtention d’une relation positive entre l’inflation et les rendements boursiers.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://id.erudit.org/iderudit/602189ar
    Download Restriction: no

    Bibliographic Info

    Article provided by Société Canadienne de Science Economique in its journal L'Actualité économique.

    Volume (Year): 71 (1995)
    Issue (Month): 4 (décembre)
    Pages: 455-480

    as in new window
    Handle: RePEc:ris:actuec:v:71:y:1995:i:4:p:455-480

    Contact details of provider:
    Email:
    Web page: http://www.scse.ca/
    More information through EDIRC

    Related research

    Keywords:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
    2. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    3. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    4. Boudoukh, Jacob & Richardson, Matthew & Whitelaw, Robert F, 1994. " Industry Returns and the Fisher Effect," Journal of Finance, American Finance Association, vol. 49(5), pages 1595-1615, December.
    5. Barsky, Robert B., 1987. "The Fisher hypothesis and the forecastability and persistence of inflation," Journal of Monetary Economics, Elsevier, vol. 19(1), pages 3-24, January.
    6. Geske, Robert & Roll, Richard, 1983. " The Fiscal and Monetary Linkage between Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 38(1), pages 1-33, March.
    7. Newey, Whitney K, 1985. "Maximum Likelihood Specification Testing and Conditional Moment Tests," Econometrica, Econometric Society, vol. 53(5), pages 1047-70, September.
    8. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Hans Joachim Voth, 2000. "With a bang, not a whimper: Pricking Germany's "stock market bubble" in 1927 and the slide into depression," Economics Working Papers 516, Department of Economics and Business, Universitat Pompeu Fabra.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:ris:actuec:v:71:y:1995:i:4:p:455-480. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bruce Shearer).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.