English, Article edition: STOCK RETURNS-INFLATION RELATION IN INDIA, 1980-2004 SHANMUGAM, K.R.; MISRA, Biswa Swarup

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/160148
Physical Description
  • article
Language
  • English

Edition details

Title
  • STOCK RETURNS-INFLATION RELATION IN INDIA, 1980-2004
Author
  • SHANMUGAM, K.R.
  • MISRA, Biswa Swarup
Physical Description
  • article
Notes
  • This study contributes to the stock returns-inflation relation literature in developing countries by revisiting the issue with reference to an emerging economy, namely India. More specifically, it tests whether the Indian stock market provides an effective hedge against inflation using monthly data on real stock return, inflation and real activity from April 1980 to March 2004 and a two-step estimation procedure. Results of the study indicate that (i) the Indian stock market reflects future real activity; (ii) the negative stock returns-inflation relation emerges from the unexpected component of the inflation and (iii) this negative relation vanishes when we control for the inflation-real activity relation, thereby providing a strong support for Fama’s proxy effect hypothesis. The split period analyses provided support for accepting Fama’s hypothesis only in pre-reform period. In the post reform period, stock market serves as a hedge against inflation.
  • Stock Return, Inflation, Fama’s proxy effect hypothesis, hedge
  • RePEc:eaa:aeinde:v:9:y:2009:i:1_17
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment