On the Dynamics of Inflation-Stock Returns in India

06-02-2017
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Authors: Avishek Bhandari; Kamaiah Bandi
Published in: Journal of Quantitative Economics | Issue 1/2018

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Abstract

In this paper, an attempt is made to examine the relationship between inflation and stock returns in India using spectral and time-frequency methods. Scale specific relation between inflation and stock returns is unraveled, allowing us to capture the relationship at varying investment horizons. The results based on monthly data from 1994:5 to 2014:11, obtained using spectral and wavelet techniques, reveal that there exist no significant pro-cyclical interdependencies between inflation and stock returns, implying that stock returns is no longer an adequate hedge against inflation.

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Metadata
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Title: On the Dynamics of Inflation-Stock Returns in India
Authors: Avishek Bhandari
Kamaiah Bandi
Publication date: 06-02-2017
Publisher: Springer India
Published in: Journal of Quantitative Economics / Issue 1/2018
Print ISSN: 0971-1554
Electronic ISSN: 2364-1045
DOI: https://doi.org/10.1007/s40953-017-0075-6

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On the Dynamics of Inflation-Stock Returns in India

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