Are ‘stock returns’ a hedge against inflation in Japan? Determination using ADL bounds testing

Hsiao-Fen Chang

Applied Economics Letters, 2013, vol. 20, issue 14, 1305-1309

Abstract: In this study, the ADL bounds test, developed by Pesaran et al. (2001), is used to test whether the Japanese stock market can provide a hedge against inflation based on monthly data over the period 2001M1 to 2011M7. Granger causality between stock market returns and inflation is also examined. The results of this study provide a reference for participants in developed stock markets and provide evidence that stock returns hedge against inflation.

Date: 2013
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DOI: 10.1080/13504851.2013.806772

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