The Analysis of the Relationship between Stock Returns and Inflation: A Consequence of Real Shocks or Money Illusion?

Analýza vztahu akciových výnosů a inflace: důsledek reálných šoků nebo peněžní iluze?

David Havlíček

Český finanční a účetní časopis, 2011, vol. 2011, issue 2, 37-57

Abstract: The study analyzes the negative relationship between stock market returns and inflation. This finding is contrary to the standard view of the stock as an instrument for hedging of property against rising prices. The paper aims to summarize the main theoretical explanations for this relationship and replicates with the empirical data from the United States and the Czech Republic earlier study explaining the relationship with a string of fiscal and monetary reasons. The study used standard correlation and regression analysis. Results of the study for the most part did not confirm earlier conclusions about a possible explanation of the negative relationship between inflation and stock returns with those reasons.

Keywords: Stock returns; Inflation; Money illusion; Real shocks; Behavioral finance; Výnosnost akcií; Inflace; Peněžní iluze; Reálné šoky; Behaviorální finance (search for similar items in EconPapers)
JEL-codes: G12 G17 G38 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.18267/j.cfuc.104

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