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Rendements boursiers et inflation

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  • Beaulieu, Marie-Claude

    (Département de finance et assurance, Université Laval)

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.

Suggested Citation

  • Beaulieu, Marie-Claude, 1995. "Rendements boursiers et inflation," L'Actualité Economique, Société Canadienne de Science Economique, vol. 71(4), pages 455-480, décembre.
    • Handle: RePEc:ris:actuec:v:71:y:1995:i:4:p:455-480
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    References listed on IDEAS

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    1. Solnik, Bruno, 1983. "The Relation between Stock Prices and Inflationary Expectations: The International Evidence," Journal of Finance, American Finance Association, vol. 38(1), pages 35-48, March.
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    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.

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