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06-02-2017 | Original Article | Issue 1/2018

Journal of Quantitative Economics 1/2018

On the Dynamics of Inflation-Stock Returns in India

Journal:
Journal of Quantitative Economics > Issue 1/2018
Authors:
Avishek Bhandari, Kamaiah Bandi

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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