Stock returns and inflation: evidence from an emerging market
AbstractTheory suggests that equities are a good hedge against inflation. However, most of the empirical evidence suggests that the relationship between stock returns and inflation is negative. One explanation is the negative correlation between inflation and real output growth. In this paper the relationship between inflation and stock returns is examined for the emerging economy of Greece, during the 1990s. To anticipate the results, the relationship seems to be negative and significant, but only for the period until 1995. Since then, the relationship is not statistically significant, and it is argued that this may be due to the increased role of monetary fluctuations.
Download InfoIf 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.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 8 (2001)
Issue (Month): 7 ()
Contact details of provider:
Web page: http://www.tandfonline.com/RAEL20
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Dikaios Tserkezos & Eleni Thanou, . "Conventional Nonlinear Relationships between GDP , Inflation and Stock Market Returns. An investigation for the Greek Economy," Working Papers 0731, University of Crete, Department of Economics.
- Habibullah, M.S. & Baharom, A.H. & Fong, Kin Hing, 2009. "Predictive Content of Output and Inflation For Stock Returns and Volatility: Evidence from Selected Asian Countries," MPRA Paper 14114, University Library of Munich, Germany.
- Shahbaz, Muhammad & Islam, Faridul, 2010. "Stocks as Hedge against Inflation in Pakistan: Evidence from ARDL Approach," MPRA Paper 30970, University Library of Munich, Germany, revised 23 Mar 2011.
- Hondroyiannis, George & Papapetrou, Evangelia, 2006. "Stock returns and inflation in Greece: A Markov switching approach," Review of Financial Economics, Elsevier, vol. 15(1), pages 76-94.
- Aktham Maghyereh, 2006. "The long-run relationship between stock returns and inflation in developing countries: further evidence from a nonparametric cointegration test," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(4), pages 265-273, July.
- Floros, C., 2004. "Stock Returns and Inflation in Greece," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 4(2).
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.