Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries
Imhotep Alagidede () and
Theodore Panagiotidis
No 2010-07, Stirling Economics Discussion Papers from University of Stirling, Division of Economics
Abstract:
The extent to which the stock market provides a hedge to investors against inflation is examined for African stock markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the elasticities of stock prices with respect to consumer prices range from 0.015 for Tunisia to 2.264 for South Africa, evidence of a positive long-run relationship. Further, the time path of the response of stock prices to innovations in consumer prices exhibits a transitory negative response for Egypt and South Africa, which becomes positive over longer horizons: important indication that the stock market tends to provide a hedge against rising consumer prices in African markets.
Keywords: Stock Prices; Cointegration; Fisher Effect; African Stock Markets; Inf lation (search for similar items in EconPapers)
Date: 2010-04
New Economics Papers: this item is included in nep-afr
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)
Downloads: (external link)
http://hdl.handle.net/1893/2282
Related works:
Journal Article: Can common stocks provide a hedge against inflation? Evidence from African countries (2010) 
Working Paper: Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries (2010) 
Working Paper: Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries (2010) 
Working Paper: Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries (2010) 
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:stl:stledp:2010-07
Access Statistics for this paper
More papers in Stirling Economics Discussion Papers from University of Stirling, Division of Economics Division of Economics, University of Stirling, Stirling, Scotland FK9 4LA. Contact information at EDIRC.
Bibliographic data for series maintained by Liam Delaney ( this e-mail address is bad, please contact ).