Publication
Title
Do stocks hedge inflation? Vietnamese and Thai evidence
Author
Abstract
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.
Language
English
Source (journal)
International Research Journal of Applied Finance. - Place of publication unknown
Publication
Place of publication unknown : publisher unknown, 2013
ISSN
2229-6891
Volume/pages
4:10(2013), p. 1278-1309
Full text (publishers version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
VABB-SHW
Record
Identification
Creation 15.10.2013
Last edited 11.12.2015
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