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Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data

Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over... AbstractThis paper analyzes the relationship between stock returns and the inflation rates for the UK over a long time period (February 1790–February 2017) and at different frequencies, by employing a wavelet analysis. We also compare the results for the UK economy with those for the US and two developing countries (India and South Africa). Overall, our results tend to suggest that, while the relationship between stock returns and inflation rates varies across frequencies and time periods, there is no evidence of stock returns acting as an inflation hedge, irrespective of whether we look at the two developed or the two developing markets in our sample. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Studies in Nonlinear Dynamics & Econometrics de Gruyter

Are stock returns an inflation hedge for the UK? Evidence from a wavelet analysis using over three centuries of data

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Publisher
de Gruyter
Copyright
©2019 Walter de Gruyter GmbH, Berlin/Boston
ISSN
1558-3708
eISSN
1558-3708
DOI
10.1515/snde-2017-0049
Publisher site
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Abstract

AbstractThis paper analyzes the relationship between stock returns and the inflation rates for the UK over a long time period (February 1790–February 2017) and at different frequencies, by employing a wavelet analysis. We also compare the results for the UK economy with those for the US and two developing countries (India and South Africa). Overall, our results tend to suggest that, while the relationship between stock returns and inflation rates varies across frequencies and time periods, there is no evidence of stock returns acting as an inflation hedge, irrespective of whether we look at the two developed or the two developing markets in our sample.

Journal

Studies in Nonlinear Dynamics & Econometrics – de Gruyter

Published: Jun 26, 2019

References

  • Are Stock Prices Hedge Against Inflation? A Revisit Over Time and Frequencies in India
  • Stock Returns and Inflation: The Role of the Monetary Sector
  • The Dynamic Adjustments of Stock Prices to Inflation Disturbances
  • Has the Correlation of Inflation and Stock Prices Changed in the United States over the Last Two Centuries?
  • Has the Correlation of Inflation and Stock Prices Changed in the United States over the Last Two Centuries?
  • Stock Returns and Inflation with Supply and Demand Disturbances
  • Stock Returns and Inflation: The Role of the Monetary Sector
  • A Practical Guide to Wavelet Analysis
  • The Relationship Between Stock Returns and Inflation: New Evidence from Wavelet Analysis
  • Interdecadal Changes in the Esnom on Soon System
  • International Comovement of Stock Market Returns: A Wavelet Analysis
  • Evidence of Non-Linear Mean Reversion in the Real Interest Rate