Are Stock Prices Hedge Against Inflation? A Revisit over Time and Frequencies in India

Niyati Bhanja (), Arif Dar, Aviral Tiwari and Olaolu Olayeni

Central European Journal of Economic Modelling and Econometrics, 2012, vol. 4, issue 3, 199-213

Abstract: In this paper, the stock price-inflation nexus is investigated using the tools of wavelet power spectrum, cross-wavelet power spectrum and cross-wavelet coherency to unravel time and frequency dependent relationships between stock prices and inflation. Our results suggest that for a frequency band between sixteen and thirty two months, there is some evidence of the fisher effect. For rest of the frequencies and time periods however there is no evidence of the fisher effect and it seems stock prices have not played any role as an inflation hedge.

Keywords: Stock prices; inflation; Fisher effect; Indian stock markets; continuous wavelet transform; wavelet coherency (search for similar items in EconPapers)
JEL-codes: C40 E31 G10 G12 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:4:y:2012:i:3:p:199-213

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