Inflation bric stock market correlation
Long run equilibrium adjustment between inflation and stock market returns in South Africa: Following the global financial crisis of , the empirical investigation into financial variables affecting the performance of stock markets has gained prominence in the field of research.
This study becomes the first to investigate the asymmetric cointegration effects of inflation on the stock market returns for the Johannesburg Stock Exchange JSE using monthly data collected from The empirical model used in the study is the recently developed momentum threshold autoregressive MTAR model. Indeed, our results advocate for a negative, nonlinear cointegration relationship between inflation and stock returns in South Africa with causality running uni-directional from inflation to stock returns.
Our empirical results suggest two things.
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Firstly, investors cannot hedge against rising inflation by investing in equity stocks listed on the JSE. Secondly, monetary policy, through the use of inflation targets, can provide a stable financial environment for the growth of equity markets in South Africa.
What did they do? Van der Merwe E.
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Short Run Causal Relationship between Inflation and Stock Returns - An Empirical Study of BRICS Markets by Vanita Tripathi, Arnav Kumar :: SSRN
Reproduction and distribution subject to the approval of the copyright owners. MPRA is a RePEc service hosted by the Munich University Library in Germany. Inflation; Stock market returns; Momentum threshold autoregressive MTAR model; Threshold error correction TEC model; Johannesburg Stock Exchange JSE ; South Africa; Sub-Saharan Africa SSA ; Developing economies.