On the Dynamics of Inflation-Stock Returns in India
Avishek Bhandari () and
Kamaiah Bandi ()
Additional contact information
Avishek Bhandari: University of Hyderabad
Kamaiah Bandi: University of Hyderabad
Journal of Quantitative Economics, 2018, vol. 16, issue 1, 89-99
Abstract In this paper, an attempt is made to examine the relationship between inflation and stock returns in India using spectral and time-frequency methods. Scale specific relation between inflation and stock returns is unraveled, allowing us to capture the relationship at varying investment horizons. The results based on monthly data from 1994:5 to 2014:11, obtained using spectral and wavelet techniques, reveal that there exist no significant pro-cyclical interdependencies between inflation and stock returns, implying that stock returns is no longer an adequate hedge against inflation.
Keywords: Stock returns; Inflation; Coherence; Cross wavelets; Spectral density (search for similar items in EconPapers)
JEL-codes: C40 G12 E31 G10 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s40953-017-0075-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:jqecon:v:16:y:2018:i:1:d:10.1007_s40953-017-0075-6
Ordering information: This journal article can be ordered from
Access Statistics for this article
Journal of Quantitative Economics is currently edited by Dilip Nachane and P.G. Babu
More articles in Journal of Quantitative Economics from Springer, The Indian Econometric Society (TIES) Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla ().