Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5055715 | Economic Modelling | 2009 | 4 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
S. Raja Sethu Durai, Saumitra N. Bhaduri,