wohar_Are stock returns an inflation hedge for the UK Evidence.pdf (19.26 MB)
Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data
journal contribution
posted on 2018-11-02, 11:08 authored by Aviral K. Tiwari, Juncal Cunado, Rangan Gupta, Mark WoharThis paper analyzes the relationship between stock returns and the inflation rates for the UK over a long time period (February 1790-February 2017) and at different frequencies, by employing a wavelet analysis. We also compare the results for the UK economy with those for the US and two developing countries (India and South Africa). Overall, our results tend to suggest that, while the relationship between stock returns and inflation rates varies across frequencies and time periods, there is no evidence of stock returns acting as an inflation hedge, irrespective of whether we look at the two developed or the two developing markets in our sample.
History
School
- Business and Economics
Department
- Business
Published in
Studies in Nonlinear Dynamics and EconometricsVolume
23Issue
3Citation
TIWARI, A.K. ... et al, 2018. Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data. Studies in Nonlinear Dynamics and Econometrics, 23 (3), 20170049.Publisher
© Walter de Gruyter GmbHVersion
- VoR (Version of Record)
Publisher statement
This paper was published in the journal Studies in Nonlinear Dynamics and Econometrics and the definitive published version is available at https://doi.org/10.1515/snde-2017-0049Acceptance date
2018-05-16Publication date
2018eISSN
1558-3708Publisher version
Language
- en