Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data

Aviral Tiwari, Juncal Cunado (), Rangan Gupta and Mark Wohar ()
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Juncal Cunado: University of Navarra, School of Economics, Edificio Amigos, Spain

No 201735, Working Papers from University of Pretoria, Department of Economics

Abstract: This paper analyzes the relationship between stock returns and the inflation rates for the UK over a long time period (February 1790 to 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.

Keywords: nominal and real stock returns; inflation; frequency-domain; wavelet analysis (search for similar items in EconPapers)
JEL-codes: C49 E31 G12 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2017-05
New Economics Papers: this item is included in nep-fmk and nep-mac
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Citations: View citations in EconPapers (2)

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Journal Article: Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data (2019)
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