- Tytuł:
- Are Stock Prices Hedge Against Inflation? A Revisit over Time and Frequencies in India
- Autorzy:
-
Bhanja, Niyati
Dar, Arif Billah
Tiwari, Aviral Kumar - Powiązania:
- https://bibliotekanauki.pl/articles/483267.pdf
- Data publikacji:
- 2012
- Wydawca:
- Polska Akademia Nauk. Czytelnia Czasopism PAN
- Tematy:
-
Stock prices
inflation
Fisher effect
Indian stock markets
continuous wavelet transform
wavelet coherency - Opis:
- 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.
- Źródło:
-
Central European Journal of Economic Modelling and Econometrics; 2012, 4, 3; 199-213
2080-0886
2080-119X - Pojawia się w:
- Central European Journal of Economic Modelling and Econometrics
- Dostawca treści:
- Biblioteka Nauki
Artykuł