- Aurum Sosyal Bilimler Dergisi
- Vol: 2 Issue: 2
- ESTIMATING THE EFFECT OF INFLATION ON STOCK RETURNS USING REGIMEDEPENDENT IMPULSE RESPONSE ANALYSIS
ESTIMATING THE EFFECT OF INFLATION ON STOCK RETURNS USING REGIMEDEPENDENT IMPULSE RESPONSE ANALYSIS
Authors : Atilla Çifter
Pages : 1-16
View : 25 | Download : 13
Publication Date : 2017-12-31
Article Type : Research
Abstract :Abstract This study investigates the effect of inflation on stock market in South Africa with regime-dependent impulse response analysis. Nonlinear regime-dependent interaction is tested with the Markov switching vector autoregression approach between July, 1995 and July, 2017. The results show that there is a negative impact of inflation in the short-term, and that a long-term relationship does not exist. This indicates that common stocks cannot be a hedge against inflation. The other findings relate to regime dependency and nonlinear correlation. I also found that movements of stock market are strongly regime-dependent. These results are robust in controlling additional macroeconomic variables.Keywords : stock market, fisher hypothesis, regime-dependent impulse response analysis