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Does the inflation rate affect the performance of the stock market? The case of Egypt

  • Omran, Mohammed
  • Pointon, John
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    File URL: http://www.sciencedirect.com/science/article/B6W69-441N73T-4/2/59f7366d51b7da34f1a74c8cf5e77c67
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    Article provided by Elsevier in its journal Emerging Markets Review.

    Volume (Year): 2 (2001)
    Issue (Month): 3 (September)
    Pages: 263-279

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    Handle: RePEc:eee:ememar:v:2:y:2001:i:3:p:263-279
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620356

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    1. Feldstein, Martin, 1982. "Inflation and the Stock Market: Reply," American Economic Review, American Economic Association, vol. 72(1), pages 243-46, March.
    2. Dokko, Yoon & Edelstein, Robert, 1987. "The Empirical Interrelationships among the Mundell and Darby Hypotheses and Expected Stock Market Returns," The Review of Economics and Statistics, MIT Press, vol. 69(1), pages 161-66, February.
    3. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    4. Wasserfallen, Walter, 1989. "Macroeconomics news and the stock market: Evidence from Europe," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 613-626, September.
    5. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
    6. 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.
    7. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    8. Martin Feldstein & Lawrence Summers, 1983. "Inflation and the Taxation of Capital Income in the Corporate Sector," NBER Chapters, in: Inflation, Tax Rules, and Capital Formation, pages 116-152 National Bureau of Economic Research, Inc.
    9. Lawrence H. Summers, 1980. "Inflation, the Stock Market, and Owner-Occupied Housing," NBER Working Papers 0606, National Bureau of Economic Research, Inc.
    10. David A. Dickey & Dennis W. Jansen & Daniel L. Thornton, 1991. "A primer on cointegration with an application to money and income," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 58-78.
    11. Titman, Sheridan & Warga, Arthur, 1989. "Stock Returns as Predictors of Interest Rates and Inflation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(01), pages 47-58, March.
    12. Darby, Michael R, 1975. "The Financial and Tax Effects of Monetary Policy on Interest Rates," Economic Inquiry, Western Economic Association International, vol. 13(2), pages 266-76, June.
    13. Benderly, Jason & Zwick, Burton, 1985. "Inflation, Real Balances, Output, and Real Stock Returns [Stock Returns, Real Activity, Inflation, and Money]," American Economic Review, American Economic Association, vol. 75(5), pages 1115-23, December.
    14. Asprem, Mads, 1989. "Stock prices, asset portfolios and macroeconomic variables in ten European countries," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 589-612, September.
    15. Dolado, Juan J & Jenkinson, Tim & Sosvilla-Rivero, Simon, 1990. " Cointegration and Unit Roots," Journal of Economic Surveys, Wiley Blackwell, vol. 4(3), pages 249-73.
    16. Jaffe, Jeffrey F & Mandelker, Gershon, 1976. "The "Fisher Effect" for Risky Assets: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 31(2), pages 447-58, May.
    17. Robert S. Pindyck, 1983. "Risk, Inflation, and the Stock Market," NBER Working Papers 1186, National Bureau of Economic Research, Inc.
    18. Robert A. Pari & Son-Nan Chen, 1984. "An Empirical Test Of The Arbitrage Pricing Theory," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 121-130, 06.
    19. Lintner, John, 1975. "Inflation and Security Returns," Journal of Finance, American Finance Association, vol. 30(2), pages 259-80, May.
    20. Martin Feldstein, 1979. "Inflation, Tax Rules, and the Stock Market," NBER Working Papers 0403, National Bureau of Economic Research, Inc.
    21. Nelson, Charles R, 1976. "Inflation and Rates of Return on Common Stocks," Journal of Finance, American Finance Association, vol. 31(2), pages 471-83, May.
    22. Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-65, September.
    23. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    24. Bodie, Zvi, 1976. "Common Stocks as a Hedge against Inflation," Journal of Finance, American Finance Association, vol. 31(2), pages 459-70, May.
    25. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
    26. Robert Mundell, 1963. "Inflation and Real Interest," Journal of Political Economy, University of Chicago Press, vol. 71, pages 280.
    27. Chen, Su-Jane & Jordan, Bradford D., 1993. "Some empirical tests in the arbitrage pricing theory: Macro variables vs. derived factors," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 65-89, February.
    28. Boudoukh, Jacob & Richardson, Matthew, 1993. "Stock Returns and Inflation: A Long-Horizon Perspective," American Economic Review, American Economic Association, vol. 83(5), pages 1346-55, December.
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