کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5055715 1371497 2009 4 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stock prices, inflation and output: Evidence from wavelet analysis
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Stock prices, inflation and output: Evidence from wavelet analysis
چکیده انگلیسی

The negative relationship between real stock return and inflation puzzled many as it contradicts conventional Fisherian wisdom. Fama [Fama, E.F. (1981), “Stock returns, real activity, inflation and money”, American Economic Review, 71(September), 545-564.] gave an explanation for this negative relationship with two propositions that links real stock return and inflation through real output. This study revisits Fama's hypothesis for India in the post-liberalized period from a developing country perspective. Examining this relationship on the time-scale decomposition from a wavelet multi-resolution analysis suggests that Fama's hypothesis holds only for the long time scale and remains as a puzzle for the other time scales.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 26, Issue 5, September 2009, Pages 1089-1092
نویسندگان
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