Stock prices, inflation and output: Evidence from wavelet analysis
Stock prices, inflation and output: Evidence from wavelet analysis
| dc.contributor.author | Durai, S. Raja Sethu | |
| dc.contributor.author | Bhaduri, Saumitra N. | |
| dc.date.accessioned | 2022-03-27T02:09:51Z | |
| dc.date.available | 2022-03-27T02:09:51Z | |
| dc.date.issued | 2009-09-01 | |
| dc.description.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. © 2009 Elsevier B.V. All rights reserved. | |
| dc.identifier.citation | Economic Modelling. v.26(5) | |
| dc.identifier.issn | 02649993 | |
| dc.identifier.uri | 10.1016/j.econmod.2009.04.005 | |
| dc.identifier.uri | https://www.sciencedirect.com/science/article/abs/pii/S0264999309000716 | |
| dc.identifier.uri | https://dspace.uohyd.ac.in/handle/1/4755 | |
| dc.subject | Fisher hypothesis | |
| dc.subject | Inflation | |
| dc.subject | Real activity | |
| dc.subject | Stock return | |
| dc.subject | Wavelets | |
| dc.title | Stock prices, inflation and output: Evidence from wavelet analysis | |
| dc.type | Journal. Article | |
| dspace.entity.type |
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