Stock prices, inflation and output: evidence from India

Arjun Chatrath, Sanjay Ramchander and Frank Song

Applied Financial Economics, 1997, vol. 7, issue 4, 439-445

Abstract: A negative relationship between stock market returns and inflationary trends has been widely documented for developed economies in Europe and North America. This study provides similar evidence for India. This relationship is investigated in light of Fama's explanation that centres around linkages between inflation and real activity, and between stock returns and real activity. Specifically, the study tests whether the negative stock return-inflation relationship is explained by a negative relationship between inflation and real economic activity, and a positive relationship between real activity and stock returns. The results from the heteroscedasticity and autocorrelation corrected models provide only partial support for Fama's hypothesis. The relationship between real activity and inflation does not account for the negative relationship between real stock returns and the unexpected component of inflation.

Date: 1997
References: View complete reference list from CitEc
Citations: View citations in EconPapers (28)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/096031097333556 (text/html)
Access to full text is restricted to subscribers.

Related works:
Journal Article: Stock prices, inflation and output: Evidence from India (1996)
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:taf:apfiec:v:7:y:1997:i:4:p:439-445

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/096031097333556

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().