Do stocks hedge inflation? Vietnamese and Thai evidence
Faculty of Applied Economics
International Research Journal of Applied Finance. - Place of publication unknown
, p. 1278-1309
University of Antwerp
This paper examines the inflation-hedging properties of stoc ks in Thailand and Vietnam. We document that nominal stock returns are negatively (altho ugh not statistically significantly) correlated to ex post, expected and unexpected inflation rat es in both countries. We cannot reject the Fisher hypothesis of a one-to-one relationship betwe en stock returns and the ex-ante inflation nor a complete hedge against surprises in inflation of st ocks. Time-varying analyses reveals that the results of the ex post relationship is driven by the un expected inflation. Moreover, the stock return-unexpected inflation association turns out to be ne gative in sub-periods where real supply shocks tend to be dominant sources of inflation, and is po sitive in ones where monetary demand shocks are more relative importance.