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

被引：0
|
作者：
Bhanja, Niyati [1 ]
Dar, Arif Billah [1 ]
Tiwari, Aviral Kumar [2 ]
Olayeni, Olaolu Richard [3 ]
机构：
[1] Pondicherry Univ, Dept Econ, Pondicherry, India
[2] ICFAI Univ Tripura, Agartala, India
[3] Obafemi Awolowo Univ, Dept Econ, Ife, Nigeria
来源：
CENTRAL EUROPEAN JOURNAL OF ECONOMIC MODELLING AND ECONOMETRICS | 2012年 / 4卷 / 03期
关键词：
Stock prices; inflation; Fisher effect; Indian stock markets; continuous wavelet transform; wavelet coherency;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
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页码：199 / 213
页数：15
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