An Analytical Study of the Effect of Inflation on Stock Market Returns

Sathyanarayana, Sheela; Gargesa, Sudhindra

doi:10.21013/jmss.v13.n2.p3

Cited by 17 publications

(10 citation statements)

References 43 publications

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“…When the BSP is unable to curve excessive inflation, this can also foster economic uncertainty. Fama [1981] finds a significant positive relationship between inflation and stock market pricing in the United States, while Sathyanarayana and Gargesa [2018] report similar in seven out of 13 countries they assessed.…”

Section: Monetary and Price Variablesmentioning

confidence: 96%

By his words alone: the economic consequences of Rodrigo Duterte

Balderas

Bernardo

2021

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Philippine President Rodrigo Duterte has gained worldwide notoriety for his foul-mouthed statements, particularly for his threats directed towards the nation’s largest businesses and their powerful owners. Such pronouncements, which may be mistaken for shifts in government policy, may inadvertently provoke the business sector to react negatively. This paper examines whether President Duterte's negative business-related pronouncements have an appreciable effect on the Philippine Stock Exchange Index (PSEi). We apply an interrupted time series model on PSEi data for the period June 30, 2016 until December 31, 2019 to determine Duterte’s impact on stock prices under six different intervention scenarios. Specifically, we test different classifications of business pronouncements— initial business pronouncements, anti-oligarch statements, personal attacks, and combinations of the three. The results show a significant relationship between Duterte’s negative business-related pronouncements on the PSEi closing price, with the biggest changes occurring during the first times he brought up a particular issue or addressed a certain personality. We aggregated the losses for the period 2018-2019 resulting from these pronouncements. For the five pronouncements, we estimate the combined losses to rise from ₱1 million on the day they were made to ₱47 million within five days and, as the market continues to adjust, up to ₱441 million within ten days.

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Section: Monetary and Price Variablesmentioning

confidence: 96%

By his words alone: the economic consequences of Rodrigo Duterte

Balderas

Bernardo

2021

PRE

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“…Several studies attempted to highlight inflation and its impact on the share market returns volatility. Inflation denotes a persistent change in the price level of goods and services in an economy often calculated in the Consumer Price Index (CPI) (Sathyanarayana & Gargesa, 2018). For instance, Davis and Kutan (2003) discovered an impact of inflation on market returns but only in several countries.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The economics theory explains that inflation includes expected inflation and unexpected inflation. Expected inflation is not a risk for share market returns but unexpected inflation is considered a serious threat to share market returns (Dewi, Somsathid, Somjai, Ghani, & Pambuko, 2019;Sathyanarayana & Gargesa, 2018). Additionally, Kim and Nofsinger (2008) found that socially collective behaviours in the Association of Southeast Asian Nations (ASEAN) communities and cultures demonstrated different characteristics than the non-ASEAN countries, thus implying findings on psychological and macroeconomic factors of share market volatility in the non-ASEAN countries differ from the ASEAN countries.…”

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confidence: 99%

Can investors’ sentiment and inflation influence share market return volatility? An ASEAN perspective

Sukmadilaga

Suciati

Handayani

et al. 2023

IJAEFA

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This study analysed the impact of psychological and macroeconomic factors on share market returns and its volatility in the ASEAN countries. This study specifically analysed the impact of investors’ sentiment and inflation on the share market returns and its volatility in the ASEAN countries. This study analyses investors’ sentiment and inflation by using the Consumer Confidence Index and Consumer Price Index on share market returns indices. The data of this study is based on 117 set from four ASEAN countries over a 10 years period. This study uses the Johansen cointegration test to evaluate the long-run cointegrating relationship among investor sentiment, inflation and market returns using different data set of IHSG, BM, PSEI, and SET. This study tells us that the Johansen co-integration test for IHSG, BM, PSEI, and SET confirms the existence of a long-run equilibrium of Trace and Maximum Eigenvalues among variables. This study shows that there is a simultaneous influence on both investors’ sentiment and inflation on the share market returns volatility in the ASEAN countries. The results of this study show that investors’ sentiment and inflation significantly influence the movement of the share market returns which constantly drives the share market returns volatility. The findings in this study serve as a reference to investors and other interested parties in understanding the factors which are influencing the share market returns volatility. Moreover, this study assists investors in forecasting future of share prices so they can make right decisions which ultimately, would reduce the risk of loss.

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“…The results show that inflation, employment, interest rates and imports negatively affect stock prices. Sathyanarayana and Gargesa (2018) focus on the correlation between inflation and stock yields of the selected global stock markets including Turkey. They find important correlation between inflation and the stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

What Are the Macroeconomic Drivers of the Asset Returns of Turkish Banks?

Civan¹,

Şimşek

Çinar

2022

Technological and Economic Development of Economy

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The aim of this paper is to investigate the effects of the macroeconomic factors to the movements of the asset returns of the banks in Turkey in terms of systemic risk from 2005 to 2018. In the study, Independent Component Analysis is applied for extracting driving factors of the asset returns of Turkish banks by decomposing the returns into its components. After examining the relationship between the independent components and the macroeconomic variables, the results conclude that one component shows strong similarities with the well-known stock market index of Turkey, namely the BIST100. Besides, the BIST100 is observed as the most important macroeconomic indicator affecting the movements of the asset returns. From systemic risk perspective, the BIST100 and the exchange rate from US dollar to Turkish lira are interpreted as two macro factors that contribute to the systemic risk of Turkish banks. When it is reviewed the regression results of the estimated independent components with the macroeconomic variables, it is found that while the BIST100 affects the asset returns of Turkish banks on its own, three macroeconomic factors (the credit default swap spreads of Turkey, the exchange rate and volatility) jointly affect the banks by creating a chain effect.

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An Analytical Study of the Effect of Inflation on Stock Market Returns

Cited by 17 publications

References 43 publications

By his words alone: the economic consequences of Rodrigo Duterte

By his words alone: the economic consequences of Rodrigo Duterte

Can investors’ sentiment and inflation influence share market return volatility? An ASEAN perspective

What Are the Macroeconomic Drivers of the Asset Returns of Turkish Banks?

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