Stock market reaction to inflation announcement in the Indian stock market: A sectoral analysis

References

• Adams, G., McQueen, G., & Wood, R. (2004). The impact of inflation news on high frequency stock returns. The Journal of Business, 77, 547–22. doi:10.1086/386530
   Web of Science ®Google Scholar
• Antonakakis, N, Gupta, R, & Tiwari, A. K. (2017). Has the correlation of inflation and stock prices changed in the united states over the last two centuries?. Research in International Business and Finance, 42, 1–8. doi:10.1016/j.ribaf.2017.04.005
   Web of Science ®Google Scholar
• Ashley, J. W. (1962). Stock prices and changes in earnings and dividends: some empirical results. Journal Of Political Economy, 70(1), 82–85.
   Web of Science ®Google Scholar
• Ball, R., & Brown, P. (1968, October). An empirical evaluation of accounting income numbers. Journal of Accounting Research, 1, 159–178. doi:10.2307/2490232
   Google Scholar
• Barker, C. A. (1956). Effective stock splits. Harvard Business Review, 34(1), 101–106.
   Web of Science ®Google Scholar
• Bodie, Z. (1976). Common stocks as a hedge against inflation. Journal of Finance, 31, 459–470. doi:10.1111/j.1540-6261.1976.tb01899.x
   Web of Science ®Google Scholar
• Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of Financial Economics, 14(1), 3–31. doi:10.1016/0304-405X(85)90042-X
   Web of Science ®Google Scholar
• Chatrath, A, Ramchander, S, & Song, F. (1997). Stock prices, inflation and output: Evidence from India. Applied Financial Economics, 7(4), 439–445.
   Google Scholar
• Corrado, C. J., & Jordan, B. D. (2002). The fundamentals of investments valuation and management (2nd ed.). USA: McGraw-Hill Companies Inc.
   Google Scholar
• Díaz, A., & Jareño, F. (2009, September). Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case. Research in International Business and Finance, 23(3), 349–368. Elsevier. doi:10.1016/j.ribaf.2008.12.001
   Google Scholar
• Dolley, J. C. (1933). Characteristics and procedure of common stock split-ups. Harvard Business Review, 11(3), 316–326.
   Google Scholar
• Fama, E. (1981). Stock returns, real activity, inflation and money. American Economic Review, 71(4), 545–565.
   Web of Science ®Google Scholar
• Fama, E., Fisher, L., Jensen, M., & Roll, R. (1969). The adjustment of stock prices to new information. International Economic Review, 10(1), 1–21. doi:10.2307/2525569
   Google Scholar
• Fama, E., & William Schwert, G. (1977). Asset returns and inflation. Journal of Financial Economics, 5(2), 115–146. doi:10.1016/0304-405X(77)90014-9
   Web of Science ®Google Scholar
• Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417. doi:10.2307/2325486
   Web of Science ®Google Scholar
• Fisher, I. (1930). Theory of interest. New York: MacMillan.
   Google Scholar
• Geske, R., & Roll, R. (1983). The fiscal and monetary linkage between stock returns and inflation. The Journal of Finance, 38(1), 1–33. doi:10.1111/j.1540-6261.1983.tb03623.x
   Web of Science ®Google Scholar
• Hardouvelis, G. A. (1988). The predictive power of the term structure during recent monetary regimes. Journal of Finance, 43(2), 339–356. doi:10.1111/j.1540-6261.1988.tb03943.x
   Web of Science ®Google Scholar
• Jaffe, J., & Mandelker, G. (1976). The fisher effect for risky assets: An empirical investigation. Journal of Finance, 31, 447–458. doi:10.2307/2326616
   Web of Science ®Google Scholar
• Jain, P. C. (1988). Response of hourly stock prices and trading volume to economic news. Journal of Business, 61, 219–231. doi:10.1086/296429
   Google Scholar
• Kaul, G. (1987). Stock returns and inflation: The role of the monetary sector. Journal of Financial Economics, 18, 253–274.
   Web of Science ®Google Scholar
• Khil, J., & Lee, B.-S. (2000, July). Are common stocks a good hedge against inflation? Evidence from the Pacific-rim countries. Pacific-Basin Finance Journal, 8(3–4), 457–482. Elsevier. doi:10.1016/S0927-538X(00)00019-6
   Google Scholar
• Knif, J., Kolari, J., & Pynnönen, S. (2008). Stock market reaction to good or bad news. Journal of Financial Research, 31, 141–166. doi:10.1111/j.1475-6803.2008.00235.x
   Google Scholar
• MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13–39.
   Web of Science ®Google Scholar
• Modigliani, F, & Cohn, R. A. (1979). Inflation, rational valuation and the market. Financial Analysts Journal, 35(2), 24–44.
   Google Scholar
• Myers, J. H., & Bakay, A. J. (1948). Influence of stock split-ups on market price. Harvard Business Review, 26(2), 251–255.
   Web of Science ®Google Scholar
• Nelson, C. R. (1976). Inflation and rate of return on common stocks. The Journal of Finance, 31, 471–483. doi:10.1111/j.1540-6261.1976.tb01900.x
   Web of Science ®Google Scholar
• Panayides, P. M, & Gong, X. (2002). The stock market reaction to merger and acquisition announcements in liner shipping. International Journal Of Maritime Economics, 4(1), 55–80.
   Google Scholar
• Pearce, D. K., & Roley, V. V. (1985). Stock prices and economic news. The Journal of Business, 58, 49–67. doi:10.1086/jb.1985.58.issue-1
   Web of Science ®Google Scholar
• Pimentel, R. C., & Choudhry, T. (2014). Stock returns under high inflation rate and interst rates: Evidence from the Brazilian market. Emerging Markets Finance and Trade, 50(1), 71–92. doi:10.2753/REE1540-496X500104
   Web of Science ®Google Scholar
• Ross, S., Westerfield, R. W., & Jaffe, J. (1999). Corporate finance (5th ed.). New York: McGraw-Hill.
   Google Scholar
• Schwert, G. W. (1981). The adjustment of stock prices to information about inflation. The Journal of Finance, 36(1), 15–29. doi:10.1111/j.1540-6261.1981.tb03531.x
   Web of Science ®Google Scholar
• Seiler, M. J. (2004). Performing financial studies: a methodological cookbook. Prentice Hall.
   Google Scholar
• Strong, N. (1992). Modelling abnormal returns: a review article. Journal Of Business Finance & Accounting, 19(4), 533–553.
   Google Scholar
• Tiwari, A. K., Dar, A. B., Bhanja, N., Arouri, M., & Teulon, F. (2015). Stock returns and inflation in Pakistan. Economic Modelling, 47, 23–31. doi:10.1016/j.econmod.2014.12.043
   Web of Science ®Google Scholar
• Watts, R. L. (1978). Systematic ‘abnormal’returns after quarterly earnings announcements. Journal Of Financial Economics, 6(2–3), 127–150.
   Web of Science ®Google Scholar
• Wei, C. (2009). Does the stock market react to unexpected inflation differently across the business cycle? George Washington University, 19(24), 1947–1959.
   Google Scholar