Common stocks as a hedge against inflation: Evidence from century-long US data

Kim, Jaehwan; Ryoo, Heajin H.

doi:10.1016/j.econlet.2011.07.003

Cited by 49 publications

(27 citation statements)

References 9 publications

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“…The results generated were consistent with stock returns being effective inflation hedges. This outcome was verified by many subsequent studies such as Boudoukh and Richardson (1993) who focussed on the US and UK, Solnik and Solnik (1997) who looked at the US, several European markets and Japan, Anari and Kolari (2001) who studied the US and major world markets, Engsted and Tanggaard (2002) who studied the US and Denmark, and Kim and Ryoo (2011) who also focussed on the US. The results drawn from all these studies seemed quite robust when compared to data taken from different markets and also when different methodologies were applied.…”

Section: Stock Returnsmentioning

confidence: 67%

“…Our result which notes that stocks can provide a complete hedge against inflation is consistent with many previous studies. For example, Anari and Kolari (2001), Engsted and Tanggaard (2002), and Kim and Ryoo (2011) who observed the US market had reported positive relations exist between stock returns and inflation in the long-run. Our result is also consistent with the outcomes of Ibrahim (2011).…”

Section: Stocksmentioning

confidence: 99%

“…First, this study provides new evidence on the issue of inflation hedging from the perspective of an emerging market, Malaysia, which is a relatively small emerging market. It has an economic and market environment that is different from developed markets where most studies have been conducted (for example, Kim & Ryoo, 2011;Beckmann & Czudaj, 2013;Tsong & Lee, 2013;Wang, Lee, & Thi, 2013). The focus on Malaysia will, therefore, offer a fresh insight into this topic.…”

Section: Introductionmentioning

confidence: 99%

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Inflation Hedging Properties of Different Asset Classes in Malaysia

Lee

Isa

2019

AJBA

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Manuscript type: Research paper Research aims: The objective of this study is to examine the inflation hedging properties of various asset classes (stock, gold, real estate, Treasury bond and Treasury bill) in the Malaysian context. Design/Methodology/Approach: This is an empirical analysis using quarterly data from the period of 1980 to 2016. The Autoregressive Distributed Lag (ARDL) bounds cointegration model is used for testing the long-run relationship while the error correction model (ECM) is used for testing the short-run dynamics. Research findings: Our results show that stocks and government bonds in Malaysia can provide a complete hedge against inflation in the long-run while real estate shows partial hedging evidence. Gold and Treasury bills, however, are not inflation hedges. For the shortrun, stocks, gold and real estate show evidence of rapid adjustment to changes in inflation while government securities indicate a mild adjustment. Theoretical contributions/Originality: First, this study provides new evidence on inflation hedges from the perspective of an emerging market. Second, this study uses the ARDL and ECM approach to study the long-run and short-run dynamics of asset returns and inflation. This is in contrast to many previous studies that mainly used the Ordinary Least-Squares (OLS) analysis. Third, this study is important for the Malaysian market because previous studies in

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Section: Stock Returnsmentioning

confidence: 67%

Section: Stocksmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Inflation Hedging Properties of Different Asset Classes in Malaysia

Lee

Isa

2019

AJBA

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“…Other results pointed to a positive or no relationship between nominal stock returns and inflation rates, e.g., for the U.K. (Boudoukh and Richardson, 1993;Firth, 1979). Focusing on the long-run relationship between stock returns and inflation, it was found to be positive (Kim and Ryoo (2011) for U.S. data in the 1950s, Engsted and Tanggaard (2002) for the U.S. and Denmark, negative (e.g., Najand and Noronha (1998) for Japan, Crosby (2001) for Australia) or not existing (Ely and Robinson (1997) for international data, (Floros, 2008;Hondroyiannis and Papapetrou, 2006) for Greek data).…”

Section: Stock Returns and Inflationmentioning

confidence: 99%

The Fisher Hypothesis and Investment Assets: The Vietnamese and Thai Case

Amonhaemanon¹,

Annaert²,

Ceuster³

et al. 2014

International Journal of Financial Research

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Following the approach of Fama and Schwert (1977), we investigate the inflation hedging ability of stocks, gold and real estate for Vietnam and Thailand. We estimate the relationship between their returns and various inflation measures (actual inflation, expected inflation as well as unexpected inflation) on both monthly and quarterly data. We do not find statistical support for the Fisher effect, due to the large standard errors. Still, from a short term qualitative point of view, both gold and real estate qualify more as a potential inflation hedge than stocks.

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“…However, the majority of studies are focused on the hedging effectiveness of stock markets against country-specific domestic and economic risks, particularly inflation. While some studies find evidence of a positive relationship, which implies that stock returns are a good hedge for inflation risk (see Aktürk, 2016;Alagidede & Panagiotidis, 2010;Kim & Ryoo, 2011;, others find that stock returns do not hedge inflation risk (Khil & Lee, 2000;Li et al, 2010).…”

Section: Introductionmentioning

confidence: 99%

Hedging Global and Country-Specific Geopolitical Risks With South Korean Stocks: A Predictability Approach

Oloko

Olaniran

Lasisi

2021

Asian Economics Letters

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In this study, we examine the potential of South Korean stocks to hedge against global and country-specific geopolitical risks. A predictability approach with a feasible quasi generalized least square (FQGLS) estimator was employed. Our results reveal that global and country-specific geopolitical risks are good predictors of South Korean stock market returns. This implies that the South Korean stock market provides a good hedge against global and South Korean geopolitical risks.

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Common stocks as a hedge against inflation: Evidence from century-long US data

Cited by 49 publications

References 9 publications

Inflation Hedging Properties of Different Asset Classes in Malaysia

Inflation Hedging Properties of Different Asset Classes in Malaysia

The Fisher Hypothesis and Investment Assets: The Vietnamese and Thai Case

Hedging Global and Country-Specific Geopolitical Risks With South Korean Stocks: A Predictability Approach

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