The adjustments of stock prices to information about inflation: evidence from MENA countries

References

• Balduzzi , P . 1995 . Stock returns and the ‘proxy hypothesis’: a new look at the data . Economics Letters , 48 : 47 – 53 .
   Web of Science ®Google Scholar
• Black , F . 1976 . “ Studies of stock price volatility changes ” . In proceedings of the 1976 meetings of the Business and Economic Statistis Section , 177 – 81 . American Statistical Association .
   Google Scholar
• Bodie , Z . 1976 . Common stocks as a hedge against inflation . Journal of Finance , 31 : 459 – 70 .
   Web of Science ®Google Scholar
• Box , G and Jenkins , G . 1976 . Time Series Analysis: Forecasting and Control , New York : Holden-Day .
   Google Scholar
• Boudoukh , J and Richardson , M . 1993 . Stock returns and inflation: a long-horizon perspective . American Economic Review , 83 : 1346 – 55 .
   Web of Science ®Google Scholar
• Caporale , T and Jung , C . 1997 . Inflation and real stock prices . Applied Financial Economics , 7 : 265 – 6 .
   Google Scholar
• Chatrath , A , Ramchander , S and Song , F . 1997 . Stock prices, inflation and output: evidence from India . Applied Financial Economics , 7 : 439 – 45 .
   Google Scholar
• Ely , DP and Robinson , KJ . 1992 . Stock returns and inflation: future tests of the role of the Central Bank . Journal of Macroeconomics , 14 : 525 – 43 .
   Web of Science ®Google Scholar
• Engle , R and Ng , V . 1993 . Measuring and testing the impact of news on volatility . Journal of Finance , 48 : 1749 – 78 .
   Web of Science ®Google Scholar
• Fama , EF . 1981 . Stock returns, real activity, inflation and money . American Economic Review , 4 : 545 – 65 .
   Google Scholar
• Fama , E and Schwert , W . 1977 . Asset return and inflation . Journal of Financial Economics , 5 : 115 – 46 .
   Web of Science ®Google Scholar
• Fisher , I . 1930 . The Theory of Interest , New York : Macmillan .
   Google Scholar
• Feldstein , M . 1980 . Inflation and the stock market . American Economic Review , 70 : 839 – 47 .
   Web of Science ®Google Scholar
• Geske , R and Roll , R . 1983 . The monetary and fiscal linkage between stock returns and inflation . Journal of Finance , 38 : 1 – 33 .
   Web of Science ®Google Scholar
• Glosten , LR , Jagannathan , R and Runkle , D . 1993 . On the relation between the expected value and the volatility of the normal excess return on stocks . Journal of Finance , 48 : 1779 – 801 .
   Web of Science ®Google Scholar
• Graham , FC . 1996 . Inflation, real stock returns and monetary policy . Applied Financial Economics , 6 : 29 – 35 .
   Google Scholar
• Hardouvelis , G . 1987 . Macroeconomic information and stock prices . Journal of Economics and Business , 39 : 131 – 40 .
   Web of Science ®Google Scholar
• Hess , PJ and Lee , B-S . 1999 . Stock returns and inflation with supply and demand disturbances . Review of Financial Studies , 12 : 1203 – 18 .
   Web of Science ®Google Scholar
• Jaffe , J and Mandelker , G . 1976 . The ‘Fisher Effect’ for risky assets: an empirical investigation . Journal of Finance , 31 : 447 – 58 .
   Web of Science ®Google Scholar
• Kaul , G . 1987 . Stock returns and inflation: the role of the monetary sector . Journal of Financial Economics , 18 : 253 – 76 .
   Web of Science ®Google Scholar
• Lintner , J . 1975 . Inflation and security return . Journal of Finance , 30 : 259 – 80 .
   Web of Science ®Google Scholar
• McQueen , G and Roley , VV . 1993 . Stock prices, news, and business conditions . Review of Financial Studies , 6 : 683 – 707 .
   Web of Science ®Google Scholar
• Modigliani , F and Richard , AC . 1979 . Inflation, rational valuation and the market . Financial Analysts Journal , 35 : 24 – 44 .
   Google Scholar
• Nelson , CR . 1976 . Inflation and rates of return on common stock . Journal of Finance , 31 : 471 – 83 .
   Web of Science ®Google Scholar
• Nelson , DB . 1991 . Conditional heteroskedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 70 .
   Web of Science ®Google Scholar
• Pearce , DK . 1985 . Stock prices and economic news . Journal of Business , 58 : 49 – 67 .
   Web of Science ®Google Scholar
• Pearce , DK and Roley , VV . 1983 . The reaction of stock prices to unanticipated changes in money: a note . Journal of Finance , 38 : 1323 – 33 .
   Web of Science ®Google Scholar
• Schwert , GW . 1981 . The adjustment of stock prices to inflation . Journal of Finance , 36 : 15 – 29 .
   Web of Science ®Google Scholar
• Titman , S and Warga , A . 1989 . Asset pricing and expected inflation . Journal of Finance , 41 : 209 – 23 .
   Google Scholar
• Zakoian , JM . 1990 . Threshold Heteroskedastic Models, Manuscript , Paris : CREST, INSEE .
   Google Scholar