248
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

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

Pages 1305-1309 | Published online: 02 Jul 2013

References

  • Alagidede , P. and Panagiotidis , T. 2010 . Can common stocks provide a hedge against inflation? Evidence from African countries . Review of Financial Economics , 19 : 91 – 100 .
  • Andrangi , B. and Chatrath , A. 2002 . Inflation, output, and stock prices: evidence from Brazil . Journal of Applied Business Research , 18 : 61 – 76 .
  • Apergis , N. and Eleftheriou , S. 2002 . Interest rates, inflation and stock prices: the case of the Athens stock exchange . Journal of Policy Modeling , 24 : 231 – 36 .
  • Boudoukh , J. and Richardson , M. 1993 . Stock returns and inflation: a long-horizon perspective . American Economic Review , 83 : 1346 – 55 .
  • Chatrath , A. , Ramchander , S. and Song , F. 1996 . Stock prices, inflation and output: evidence from India . Journal of Asian Economics , 7 : 238 – 45 .
  • Engle , R. E. and Granger , C. W. J. 1987 . Cointegration and error-correction: representation, estimation, and testing . Econometrica , 55 : 251 – 76 .
  • Fama , E. and Gibbons , M. 1982 . Inflation, real returns and capital investments . Journal of Monetary Economics , 9 : 297 – 323 .
  • Fama , E. and Schwert , W. 1977 . Asset returns and inflation . Journal of Financial Economics , 5 : 115 – 46 .
  • Johansen , S. and Juselius , K. 1990 . Maximum likelihood estimation and inference on cointegration with applications to the demand for money . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
  • Luintl , K. B. and Padyal , K. 2006 . Are common stocks a hedge against inflationary? . Journal of Financial Research , 29 : 1 – 19 .
  • Nelson , C. 1976 . Inflation and rates of return on common stocks . Journal of Finance , 31 : 471 – 83 .
  • Pesaran , M. H. , Shin , Y. and Smith , R. 2001 . Bound testing approaches to the analysis of level relationships . Journal of Applied Econometrics , 16 : 289 – 326 .
  • Wong , K. F. and Wu , H. J. 2003 . Testing Fisher hypothesis in long horizons for G7 and eight Asian countries, Applied Economics Letters Vol. 10, 917–23 ,

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.