Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data

Aviral Tiwari, Juncal Cuñado (), Rangan Gupta and Mark Wohar ()

Studies in Nonlinear Dynamics & Econometrics, 2019, vol. 23, issue 3, 17

Abstract: This 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.

Keywords: frequency-domain; inflation; nominal and real stock returns; wavelet analysis (search for similar items in EconPapers)
JEL-codes: C49 E31 G12 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://doi.org/10.1515/snde-2017-0049 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
Working Paper: Are Stock Returns an Inflation Hedge for the UK? Evidence from a Wavelet Analysis Using Over Three Centuries of Data (2017)
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:bpj:sndecm:v:23:y:2019:i:3:p:17:n:1

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/snde/html

DOI: 10.1515/snde-2017-0049

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().