Inflation hedging effectiveness of an emerging Asian market: the case of Malaysia

Mansor Ibrahim

International Journal of Economics and Business Research, 2011, vol. 3, issue 5, 514-525

Abstract: This paper empirically examines the inflation-hedging property of an emerging stock market, Malaysia, for full sample (1988–2008), pre-crisis sample (1988–1996) and post-crisis sample (1999–2008) by means of asymmetric cointegration and asymmetric error-correction modelling. The focus is on the long-run relation between stock prices and consumer prices, the adjustment speed of the stock market to restore the long-run relation and their short run interactions. From the analyses, we uncover evidence supporting the long-run inflation-hedging ability of the Malaysian stock market only during the pre-crisis period. Its hedging ability, however, weakens for the full sample and is absent post-crisis. In the short run, we note that rising inflation tends to be followed by stock market decline.

Keywords: inflation hedging; stock markets; asymmetry; Malaysia; emerging markets; stock prices; consumer prices; rising inflation; stock market decline. (search for similar items in EconPapers)
Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.inderscience.com/link.php?id=42315 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijecbr:v:3:y:2011:i:5:p:514-525

Access Statistics for this article

More articles in International Journal of Economics and Business Research from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().