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STOCK RETURN AND INFLATION IN KAZAKHSTAN, RUSSIA AND UKRAINE

Yıl 2013, Cilt: 5 Sayı: 1, 258 - 270, 01.06.2013

Öz

This paper examines the relationship between stock returns and inflation rates in
the context of the Fisher hypothesis in the three CIS countries – Kazakhstan,
Russia and Ukraine – using monthly data on stock and goods prices over the
period 2001M1-2012M10. Regression results indicate that although the estimated
coefficients of current and expected inflation are correctly signed in all cases, the
hypothesis holds precisely only in the case of Kazakhstan. Moreover, in the case
of Kazakhstan the coefficients of both current and expected inflation are
statistically significant and higher than unity. The results from cointegration tests
do not confirm the existence of a long run relationship between stock and goods
prices. However, a significant error correction representation exists for Russia
showing that it takes less than 2 years to restore the equilibrium between stock
and goods prices. An important finding that emerges from this study is that like
stock markets in other countries the CIS stock markets do not tend to provide a
good hedge against inflation.

Kaynakça

  • Alagidede, Paul and Panagotidis, Theodore (2010), “Can Common Stock Provide a
  • Hedge against Inflation? Evidence from African Countries”, Review of Financial Economics, Vol. 19, pp. 91-100. Al-Khazali, Osamah and Pyun, Chong (2002), “Stock Prices and Inflation: New
  • Evidence from the Pacific-Basin Countries”, Review of Quantitative Finance and Accounting, Vol. 22, pp. 123– 140. Anari, Ali and Kolari, James (2001), “Stock Prices and Inflation”, Journal of
  • Financial Research, Vol. 24, No. 4, pp. 587–602. Barnes, Michelle, Boyd, John and Smith. Bruce (1999), “Inflation and Asset
  • Returns”, European Economic Review, Vol. 43, pp. 737-754. Bodie, Zvi (1976), “Common Stocks as a Hedge Against Inflation, “Journal of Finance, Vol. 31, no. 2, pp. 459-470.
  • Boudoukh, Jacob and Richardson, Matthew (1993), “Stock Returns and Inflation: a
  • Long-Horizon Perspective”, American Economic Review, Vol. 83, No. 5, pp. 1346
  • Cohn, Richard and Lessard, Donald (1981), “The Effect of Inflation on Stock Prices:
  • International Evidence” Journal of Finance, Vol. 36, No. 2, pp. 277-289. Dickey, David and Fuller, Wayne (1979), “Distribution of the Estimators for
  • Autoregressive Time Series with a Unit Root” Journal of American Statistical Association”, Vol. 74, No. 366, pp. 427-431. Engle, Robert and Granger, William (1987), “Co-integration and Error Correction
  • Representation, Estimation and Testing”, Econometrica, Vol. 55, pp. 251 – 276. Fama, Eugene and Schwert, William (1977), “Asset Returns and Inflation”, Journal of Financial Economics, Vol. 5, No. 2, pp. 115-146.
  • Firth, Michael (1979), “The Relationships Between Stock Market Returns and Rates of Inflation”, Journal of Finance, Vol. 34, No. 3, pp. 743-749.
  • Fisher, Irving (1930), The Theory of Interest, New York: Macmillan.
  • Gultekin, Bulent (1983a), “Stock Market Returns and Inflation: Evidence from Other
  • Countries”, Journal of Finance, Vol. 38, No. 3, pp. 663-673. Gultekin, Bulent (1983b), “Stock Market Returns and Inflation Forecasts” Journal of Finance, Vol. 38, No. 1, pp. 49-65.
  • Hein, Scott and Mercer, Jeffrey (1999), “Co-movements of Stock Prices and Consumer Goods Prices”, Working Paper Presented at the 1999 Southern Finance
  • Association Conference. Humphrey, Thomas (1983), “The Early History of the Real/Nominal Interest Rate
  • Relationship”, Federal Reserve Bank of Richmond Economic Review, Vol. 69, No. 3, pp. 2-10. Jaffe, Jeffrey and Mandelker, Gershon (1976), “The Fisher Effect for Risky Assets:
  • An Empirical Investigation," Journal of Finance, Vol. 31, No. 2, pp. 447-458. Johansen, Soren (1991), “Estimation and Hypothesis Testing of Cointegration
  • Vectors in Gaussian Vector Autoregressive Models”, Econometrica, Vol. 59, No. 6, pp. 1551–1580.
  • Kim, Jae and Ryoo, Heajin (2011), “Common Stocks as a Hedge Against Inflation:
  • Evidence from Century-Long US Data”, Economic Letters, Vol. 113, pp. 168-171. Lintner, John (1975), “Inflation and Security Returns”, Journal of Finance, Vol. 30, No. 2, pp. 259-280.
  • Moosa, Imad and Bhatti, Razzaque (1997) International Parity Conditions: Theory,
  • Econometric Testing and Empirical Evidence, published simultaneously by Macmillan Press Ltd. (U.K) and St. Martin's Press, INC. (USA). Nelson, Charles (1976), “Inflation and Rates of Return on Common Stocks” Journal of Finance, Vol. 31, No. 2, pp. 471-483.
  • Oudet, Bruno (1973), “The Variation of the Returns on Common Stocks”, Journal of
  • Financial and Quantitative Analysis, Vol. 8, No. 2, pp. 247-58. Pearce, Douglas (1982), “The Impact of Inflation on Stock Prices”, Economic Review
  • Federal Reserve Bank of Kansas City, March, pp. 3-18. Schotman, Peter and Schweitzer, Mark (2000), “Horizon Sensitivity of the Inflation
  • Hedge of Stocks”, Journal of Empirical Finance, Vol. 7, pp. 301-315. Solnik, Bruno and Solnik, Vincent (1997), “A Multi-Country Test of the Fisher
  • Model for Stock Returns” Journal of International Financial Markets, Institutions and Money, Vol. 7, No. 4, pp. 289-301. Solnik, Bruno (1983), “The Relation between Stock Prices and Inflationary
  • Expectations: The International Evidence, Journal of Finance, Vol. 38, No. 1, pp. 48.
Yıl 2013, Cilt: 5 Sayı: 1, 258 - 270, 01.06.2013

Öz

Kaynakça

  • Alagidede, Paul and Panagotidis, Theodore (2010), “Can Common Stock Provide a
  • Hedge against Inflation? Evidence from African Countries”, Review of Financial Economics, Vol. 19, pp. 91-100. Al-Khazali, Osamah and Pyun, Chong (2002), “Stock Prices and Inflation: New
  • Evidence from the Pacific-Basin Countries”, Review of Quantitative Finance and Accounting, Vol. 22, pp. 123– 140. Anari, Ali and Kolari, James (2001), “Stock Prices and Inflation”, Journal of
  • Financial Research, Vol. 24, No. 4, pp. 587–602. Barnes, Michelle, Boyd, John and Smith. Bruce (1999), “Inflation and Asset
  • Returns”, European Economic Review, Vol. 43, pp. 737-754. Bodie, Zvi (1976), “Common Stocks as a Hedge Against Inflation, “Journal of Finance, Vol. 31, no. 2, pp. 459-470.
  • Boudoukh, Jacob and Richardson, Matthew (1993), “Stock Returns and Inflation: a
  • Long-Horizon Perspective”, American Economic Review, Vol. 83, No. 5, pp. 1346
  • Cohn, Richard and Lessard, Donald (1981), “The Effect of Inflation on Stock Prices:
  • International Evidence” Journal of Finance, Vol. 36, No. 2, pp. 277-289. Dickey, David and Fuller, Wayne (1979), “Distribution of the Estimators for
  • Autoregressive Time Series with a Unit Root” Journal of American Statistical Association”, Vol. 74, No. 366, pp. 427-431. Engle, Robert and Granger, William (1987), “Co-integration and Error Correction
  • Representation, Estimation and Testing”, Econometrica, Vol. 55, pp. 251 – 276. Fama, Eugene and Schwert, William (1977), “Asset Returns and Inflation”, Journal of Financial Economics, Vol. 5, No. 2, pp. 115-146.
  • Firth, Michael (1979), “The Relationships Between Stock Market Returns and Rates of Inflation”, Journal of Finance, Vol. 34, No. 3, pp. 743-749.
  • Fisher, Irving (1930), The Theory of Interest, New York: Macmillan.
  • Gultekin, Bulent (1983a), “Stock Market Returns and Inflation: Evidence from Other
  • Countries”, Journal of Finance, Vol. 38, No. 3, pp. 663-673. Gultekin, Bulent (1983b), “Stock Market Returns and Inflation Forecasts” Journal of Finance, Vol. 38, No. 1, pp. 49-65.
  • Hein, Scott and Mercer, Jeffrey (1999), “Co-movements of Stock Prices and Consumer Goods Prices”, Working Paper Presented at the 1999 Southern Finance
  • Association Conference. Humphrey, Thomas (1983), “The Early History of the Real/Nominal Interest Rate
  • Relationship”, Federal Reserve Bank of Richmond Economic Review, Vol. 69, No. 3, pp. 2-10. Jaffe, Jeffrey and Mandelker, Gershon (1976), “The Fisher Effect for Risky Assets:
  • An Empirical Investigation," Journal of Finance, Vol. 31, No. 2, pp. 447-458. Johansen, Soren (1991), “Estimation and Hypothesis Testing of Cointegration
  • Vectors in Gaussian Vector Autoregressive Models”, Econometrica, Vol. 59, No. 6, pp. 1551–1580.
  • Kim, Jae and Ryoo, Heajin (2011), “Common Stocks as a Hedge Against Inflation:
  • Evidence from Century-Long US Data”, Economic Letters, Vol. 113, pp. 168-171. Lintner, John (1975), “Inflation and Security Returns”, Journal of Finance, Vol. 30, No. 2, pp. 259-280.
  • Moosa, Imad and Bhatti, Razzaque (1997) International Parity Conditions: Theory,
  • Econometric Testing and Empirical Evidence, published simultaneously by Macmillan Press Ltd. (U.K) and St. Martin's Press, INC. (USA). Nelson, Charles (1976), “Inflation and Rates of Return on Common Stocks” Journal of Finance, Vol. 31, No. 2, pp. 471-483.
  • Oudet, Bruno (1973), “The Variation of the Returns on Common Stocks”, Journal of
  • Financial and Quantitative Analysis, Vol. 8, No. 2, pp. 247-58. Pearce, Douglas (1982), “The Impact of Inflation on Stock Prices”, Economic Review
  • Federal Reserve Bank of Kansas City, March, pp. 3-18. Schotman, Peter and Schweitzer, Mark (2000), “Horizon Sensitivity of the Inflation
  • Hedge of Stocks”, Journal of Empirical Finance, Vol. 7, pp. 301-315. Solnik, Bruno and Solnik, Vincent (1997), “A Multi-Country Test of the Fisher
  • Model for Stock Returns” Journal of International Financial Markets, Institutions and Money, Vol. 7, No. 4, pp. 289-301. Solnik, Bruno (1983), “The Relation between Stock Prices and Inflationary
  • Expectations: The International Evidence, Journal of Finance, Vol. 38, No. 1, pp. 48.
Toplam 30 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA57JP87FT
Bölüm Makaleler
Yazarlar

Razzaque H Bhatti Bu kişi benim

Olga Pak Bu kişi benim

Yayımlanma Tarihi 1 Haziran 2013
Yayımlandığı Sayı Yıl 2013 Cilt: 5 Sayı: 1

Kaynak Göster

APA Bhatti, R. H., & Pak, O. (2013). STOCK RETURN AND INFLATION IN KAZAKHSTAN, RUSSIA AND UKRAINE. International Journal of Economics and Finance Studies, 5(1), 258-270.
AMA Bhatti RH, Pak O. STOCK RETURN AND INFLATION IN KAZAKHSTAN, RUSSIA AND UKRAINE. IJEFS. Haziran 2013;5(1):258-270.
Chicago Bhatti, Razzaque H, ve Olga Pak. “STOCK RETURN AND INFLATION IN KAZAKHSTAN, RUSSIA AND UKRAINE”. International Journal of Economics and Finance Studies 5, sy. 1 (Haziran 2013): 258-70.
EndNote Bhatti RH, Pak O (01 Haziran 2013) STOCK RETURN AND INFLATION IN KAZAKHSTAN, RUSSIA AND UKRAINE. International Journal of Economics and Finance Studies 5 1 258–270.
IEEE R. H. Bhatti ve O. Pak, “STOCK RETURN AND INFLATION IN KAZAKHSTAN, RUSSIA AND UKRAINE”, IJEFS, c. 5, sy. 1, ss. 258–270, 2013.
ISNAD Bhatti, Razzaque H - Pak, Olga. “STOCK RETURN AND INFLATION IN KAZAKHSTAN, RUSSIA AND UKRAINE”. International Journal of Economics and Finance Studies 5/1 (Haziran 2013), 258-270.
JAMA Bhatti RH, Pak O. STOCK RETURN AND INFLATION IN KAZAKHSTAN, RUSSIA AND UKRAINE. IJEFS. 2013;5:258–270.
MLA Bhatti, Razzaque H ve Olga Pak. “STOCK RETURN AND INFLATION IN KAZAKHSTAN, RUSSIA AND UKRAINE”. International Journal of Economics and Finance Studies, c. 5, sy. 1, 2013, ss. 258-70.
Vancouver Bhatti RH, Pak O. STOCK RETURN AND INFLATION IN KAZAKHSTAN, RUSSIA AND UKRAINE. IJEFS. 2013;5(1):258-70.