TY - JOUR
T1 - An analysis of inflation and stock returns for the UK
AU - Li, Lifang
AU - Narayan, Paresh Kumar
AU - Zheng, Xinwei
N1 - Funding Information:
Li is gratefully acknowledges financial support from the National Social Science Foundation of China (Grant No. 10CJL010).
Copyright:
Copyright 2010 Elsevier B.V., All rights reserved.
PY - 2010/12
Y1 - 2010/12
N2 - Whether common stocks provide a hedge against inflation has been long debated. This paper focuses on this question by investigating the relationship between inflation and stock returns in the short term and medium term and under different inflationary regimes using the UK data. Empirical evidence suggests that the UK stock market fails to hedge against inflation in the short term. However, in the medium term there is mixed results. Results from different inflationary regimes show that the relationship between inflation and returns varies in different regimes.
AB - Whether common stocks provide a hedge against inflation has been long debated. This paper focuses on this question by investigating the relationship between inflation and stock returns in the short term and medium term and under different inflationary regimes using the UK data. Empirical evidence suggests that the UK stock market fails to hedge against inflation in the short term. However, in the medium term there is mixed results. Results from different inflationary regimes show that the relationship between inflation and returns varies in different regimes.
KW - Inflation
KW - Stock returns
UR - http://www.scopus.com/inward/record.url?scp=78249243047&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2010.07.002
DO - 10.1016/j.intfin.2010.07.002
M3 - Article
AN - SCOPUS:78249243047
SN - 1042-4431
VL - 20
SP - 519
EP - 532
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
IS - 5
ER -