An analysis of inflation and stock returns for the UK

Lifang Li, Paresh Narayan () and Xinwei Zheng

Journal of International Financial Markets, Institutions and Money, 2010, vol. 20, issue 5, 519-532

Abstract: Whether common stocks provide a hedge against inflation has been long debated. This paper focuses on this question by investigating the relationship between inflation and stock returns in the short term and medium term and under different inflationary regimes using the UK data. Empirical evidence suggests that the UK stock market fails to hedge against inflation in the short term. However, in the medium term there is mixed results. Results from different inflationary regimes show that the relationship between inflation and returns varies in different regimes.

Keywords: Inflation; Stock; returns (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:20:y:2010:i:5:p:519-532

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