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The Fisher effect: Evidence from the Romanian Stock Market

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  • Dragos Stefan Oprea

Abstract

This paper tests the Fisher effect in the case of Romanian stock market. According to the Fisher effect, the expected nominal return on stocks move in one to one correspondence with the expected rate of inflation. The relationship between nominal stock return and inflation is examined for four stock indices. The empirical results suggest that the Fisher effect holds mainly for the index that reflects the price movements of the most ten liquid companies listed on the Romanian stock market and for the investment fund index.

Suggested Citation

  • Dragos Stefan Oprea, 2014. "The Fisher effect: Evidence from the Romanian Stock Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 4(5), pages 637-644, May.
    • Handle: RePEc:hur:ijarbs:v:4:y:2014:i:5:p:637-644
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    References listed on IDEAS

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    More about this item

    Keywords

    Fisher effect; stock returns; inflation; Romania; GARCH;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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