Are Stock Prices Hedge Against Inflation? A Revisit over Time and Frequencies in India

• Autorzy: Niyati Bhanja , Arif Billah Dar , Aviral Kumar Tiwari , Olaolu Richard Olayeni
• Języki publikacji: EN

Abstrakty

EN

In this paper, the stock price-inflation nexus is investigated using the tools of wavelet power spectrum, cross-wavelet power spectrum and cross-wavelet coherency to unravel time and frequency dependent relationships between stock prices and inflation. Our results suggest that for a frequency band between sixteen and thirty two months, there is some evidence of the fisher effect. For rest of the frequencies and time periods however there is no evidence of the fisher effect and it seems stock prices have not played any role as an inflation hedge. (original abstract)

Słowa kluczowe

EN

Stock markets; Inflation; Fisher index

PL

Rynki giełdowe; Inflacja; Indeks Fishera

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2012
• Tom: 4
• Numer: nr 3
• Strony: 199--213

Twórcy

autor

Niyati Bhanja

• Pondicherry University, India

autor

Arif Billah Dar

• Pondicherry University, India

autor

Aviral Kumar Tiwari

• ICFAI University Tipura, India

autor

Olaolu Richard Olayeni

• Obafemi Awolowo University, Nigeria

Bibliografia

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Identyfikatory

DOI

DOI: 10.24425/cejeme.2012.119283