The Fisher effect: Evidence from the Romanian Stock Market

Dragos Stefan Oprea

International Journal of Academic Research in Business and Social Sciences, 2014, vol. 4, issue 5, 637-644

Abstract: This paper tests the Fisher effect in the case of Romanian stock market. According to the Fisher effect, the expected nominal return on stocks move in one to one correspondence with the expected rate of inflation. The relationship between nominal stock return and inflation is examined for four stock indices. The empirical results suggest that the Fisher effect holds mainly for the index that reflects the price movements of the most ten liquid companies listed on the Romanian stock market and for the investment fund index.

Keywords: Fisher effect; stock returns; inflation; Romania; GARCH (search for similar items in EconPapers)
JEL-codes: E31 G10 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hur:ijarbs:v:4:y:2014:i:5:p:637-644

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