On the Dynamics of Inflation-Stock Returns in India

Bhandari, Avishek; Kamaiah, Bandi

doi:10.1007/s40953-017-0075-6

Cited by 2 publications

(2 citation statements)

References 136 publications

(162 reference statements)

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“…Ferrer et al ( 2016) followed a wavelet-based analysis to establish the association between Interest rate and stock returns. Some previous papers employed wavelet coherence analysis to examine the relationship between stock returns and inflation rates (Bhanja et al, 2012;Bhandari et al, 2018). Firstly, the Morlet wavelet is defined in equation ( 1):…”

Section: Discussionmentioning

confidence: 99%

“…Pre-(1960Pre-( -1990) and (1991-2014) post-structural economic reform experiences in India analysed by wavelet analysis of frequency-based causality suggest that stock returns are not connected to inflation across various investment periods lending support to stocks as instruments of hedge against inflation (Bhanja et al, 2019). However, monthly data from 1994M5 to 2014M11, analysed by spectral and wavelet techniques, did not portray substantial pro-cyclical inflation-stock returns linkages, depicting stock returns as inadequate inflation hedge in India (Bhandari et al, 2018), in addition to non-decisive evidence of inflation hedge of stocks in South Africa (van Rooyen et al, 2019). Moreover, Tiwari et al's (2019) wavelet analysis of the UK, the US, India and South Africa's inflation-stock returns links confirms frequencies and periods links, but abandons stock returns as an inflation hedge, whereas the example Islamic stock returns portrayed in Haniff et al (2018) confirms them for shorter investment periods, i.e., those not exceeding 3 years, the FTSE Bursa Malaysia Emas Shariah Index, as constituent returns can be used as an inflation hedge, while investment periods exceeding 3 years are detrimental to investment returns.…”

Section: Literature Reviewmentioning

confidence: 98%

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Capital Market Returns and Inflation Nexus in Croatia: Wavelet Coherence Analysis

Bošnjak

Novák

Bašić

2021

Business Systems Research Journal

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Background: Hedging against inflation assumes instruments such as gold, stocks, fixed income securities, and real estate. There still exists a lack of appropriate strategy to hedge against inflation. Objectives: This paper examines the possibilities for hedging against inflation in Croatia offered by the Zagreb Stock Exchange indices. Methods/Approach: Based on monthly data from January 2000 to September 2019 and using a wavelet coherence approach, this paper brings the results across time and frequency domains. Results: Empirical results suggest that inflation was a leading variable in a statistically significant positive correlation between the inflation rate and Crobex returns in 2007-2011. The relationship between Crobex10, Crobis, and Crobistr returns on one side, and the inflation rate on the other side has statistically significant correlations only in specific and different periods, in which respective returns are a leading variable. Conclusions: The results imply that hedging against inflation is rather problematic under current Croatian capital markets conditions. Zagreb Stock Exchange indices could serve as a hedge against inflation for some periods but not during the whole observation period.

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Section: Discussionmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 98%

Capital Market Returns and Inflation Nexus in Croatia: Wavelet Coherence Analysis

Bošnjak

Novák

Bašić

2021

Business Systems Research Journal

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Inflation Expectations, U.S. Categorical Equity Market Uncertainty and Real Stock Returns – Evidence from Global Markets

Chiang

2024

FEL

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This study examines the response of real stock returns to expected inflation and uncertainty as measured by state variable correlated with equity market volatility (EMV). Evidence reveals a significantly negative relationship between real stock returns and expected inflation for each country except some cases in India and Japan. Evidence indicates a negative relationship between real stock returns and uncertainty, which is measured not only by the impact of the Fed’s monetary policy uncertainty but also from various state variables that covary with EMV. These elements have not been explicitly incorporated into test equations in previous studies of the inflation-stock return relationship. The model is robust in its ability to test data for both advanced and emerging markets, level or the first difference of explanatory variables, and various categorical EMVs. Evidence shows that the Fed’s rate hikes respond to the inflation data, displaying a nonlinear impact on real stock returns.

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On the Dynamics of Inflation-Stock Returns in India

Cited by 2 publications

References 136 publications

Capital Market Returns and Inflation Nexus in Croatia: Wavelet Coherence Analysis

Capital Market Returns and Inflation Nexus in Croatia: Wavelet Coherence Analysis

Inflation Expectations, U.S. Categorical Equity Market Uncertainty and Real Stock Returns – Evidence from Global Markets

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