Are Stock Returns a Good Hedge Against Inflation in the Long Run?

Yıl 2023, , 1 - 16, 24.05.2023

Ahmet Kerem Özdemir , Semra Taspunar Altuntaş , Batuhan Mert Bozbağ

https://doi.org/10.17753/sosekev.1231418

Cited By: 1

Öz

In this study, it is aimed to find an answer to the question of whether stock investments provide protection against inflation in the long run. In this direction, the long-term relationship between stock index returns, inflation and some other macroeconomic variables was examined using the bounds cointegration test based on the ARDL model, utilizing quarterly data from 1998Q1 to 2022Q1. Estimates and tests indicate the existence of a long-term relationship between the BIST100 return index, real gross domestic product, consumer inflation and the nominal USDTRY rate. It is understood that the coefficient of the price index variable in the cointegration equation is not statistically different from one. This finding implies that the BIST100 index provides long-term protection against inflation, at least for the analysis period. In the study, estimates made by DOLS and FMOLS techniques were also used to check the reliability of the findings, and similar results were obtained.

Anahtar Kelimeler

Bounds test, ARDL, ECM, Stock returns, Inflation

ENDEKS GETİRİSİ UZUN DÖNEMDE ENFLASYONA KARŞI KORUMA SAĞLIYOR MU?

Öz

Bu çalışmada hisse senedi yatırımlarının enflasyona karşı uzun dönemde koruma sağlayıp sağlamadığı sorusuna cevap bulmak amaçlanmıştır. Bu doğrultuda ARDL modeline dayalı sınır testi yardımıyla hisse senedi endeksi getirileri ile enflasyon ve diğer bâzı makroekonomik değişkenler arasındaki uzun dönemli ilişki, 1998Q1 – 2022Q1 zaman aralığında gerçekleşmiş çeyrek dönemlik veriler kullanılarak incelenmiştir. Yapılan tahminler ve testler, BİST100 getiri endeksi, reel gayrisafi yurtiçi hasıla, tüketici enflasyonu ve nominal USDTRY kuru arasında uzun dönemli bir ilişkinin varlığına işaret etmektedir. Eşbütünleşme denkleminde fiyat endeksi değişkeninin katsayısının istatistiksel açıdan birden farklı olmadığı anlaşılmaktadır. Bu bulgu da BİST100 endeksinin enflasyona karşı, en azından analiz edilen zaman aralığı için, uzun dönemde koruma sağladığını îmâ etmektedir. Çalışmada, bulguların güvenilirliğini denetlemek üzere ayrıca DOLS ve FMOLS teknikleriyle yapılan tahminler de kullanılmış ve benzer sonuçlar elde edilmiştir.

Anahtar Kelimeler

Sınır testi, ARDL, Hata düzeltme modeli, Endeks getirileri, Enflasyon

Kaynakça

• Alqaralleh, H. (2020). Stock return-inflation nexus; revisited evidence based on nonlinear ARDL. Journal of Applied Economics, 23(1), 66-74. https://doi.org/10.1080/15140326.2019.1706828
• Anari, A., & Kolari, J. (2001). Stock Prices and Inflation. The Journal of Financial Research. XXIV(4), 587-602. https://doi.org/10.1111/j.1475-6803.2001.tb00832.x
• Ang, A., & Brière, M. & Signori, O. (2012) Inflation and Individual Equities. Financial Analysts Journal, 68(4), 36-55. https://doi.org/10.2469/faj.v68.n4.3
• Azar, S. A., (2021). Irrelevance of inflation: the 20 Fama-French stocks. Journal of Business, Economics and Finance (JBEF), 10(1), 1-11. https://doi.org/10.17261/Pressacademia.2021.1379
• Barnes, M., Boyd, J.H., & Smith, B.D. (1999). Inflation and asset returns. European Economic Review, 43, 737 – 754. https://doi.org/10.1016/S0014-2921(98)00090-7
• Boudoukh, J., & Richardson, M. (1993). Stock returns and inflation: a long horizon perspective. American Economic Review, 83, 1346 – 1355. http://links.jstor.org/sici?sici=0002-8282%2819931 ... O%3B2-I&origin=repec
• Choudhry, T. (2001). Inflation and rates of return on stocks: evidence from high inflation countries. Journal of International Financial Markets, 11, 75 – 96. https://doi.org/10.1016/S1042-4431(00)00037-8
• Engsted, T., & Tanggaard, C. (2002). The relation between asset returns and inflation at short and long horizons. Journal of International Financial Markets, Institutions and Money, 12, 101–118. http://dx.doi.org/10.2139/ssrn.221669
• Erb, C.B., Campbell R. H., & Tadas E. V. (1995). Inflation and World Equity Selection. Financial Analysts Journal, November-December. https://doi.org/10.2469/faj.v51.n6.1947
• Fama E. F., & Schwert G.W (1977). Asset Returns and Inflation. Journal of Financial Economics, 5, 115-146. https://doi.org/10.1016/0304-405X(77)90014-9
• Graham F. C. (1996). Inflation, real stock returns, and monetary policy, Applied Financial Economics, 6(1), 29-35. https://doi.org/10.1080/096031096334448
• Groenewold, N., O'Rourke, G., & Thomas, S. (1997). Stock returns and inflation: a macro analysis, Applied Financial Economics, 7(2), 127-136. https://doi.org/10.1080/096031097333691
• Gultekin N. B. (1983). Stock Market Returns and Inflation: Evidence from Other Countries, The Journal of Finance, XXXVIII(1). https://doi.org/10.1111/j.1540-6261.1983.tb03625.x
• Harrison, P., & Zhang, H.H. (1999). An investigation of the risk and return relation at long horizons. Review of Economics and Statistics, 81(3), 399 – 408. https://www.jstor.org/stable/2646764
• Hasan, M. S. (2008). Stock returns, inflation and interest rates in the United Kingdom. The European Journal of Finance, 14(8), 687-699. https://doi.org/10.1080/13518470802042211
• Hondroyiannis, G., & Papapetrou, E. (2006). Stock returns and inflation in Greece: A Markov switching approach. Review of Financial Economics, 15, 76 – 94. https://doi.org/10.1016/j.rfe.2005.02.002
• Jung, C., Shambora, W., & Choi, K. (2007). The relationship between stock returns and inflation in four European markets, Applied Economics Letters, 14(8), 555-557. https://doi.org/10.1080/13504850600580452
• Kim, J. R. (2003). The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity. Economics Letters, 80, 155–160. http://www.sciencedirect.com/science/article/pii/S0165-1765(03)00059-4
• Kim, S., & In, F. (2004). The relationship between stock returns and inflation: new evidence from wavelet analysis. Journal of Empirical Finance, 12, 435 – 444. https://doi.org/10.1016/j.jempfin.2004.04.008
• Lee, B. S. (2010). Stock returns and inflation revisited: An evaluation of the inflation illusion hypothesis. Journal of Banking & Finance, 34, 1257–1273. https://doi.org/10.1016/j.jbankfin.2009.11.023
• Magweva, R., & Sibanda, M. (2020). Inflation and infrastructure sector returns in emerging markets, panel ARDL approach, Cogent Economics & Finance, 8(1), 1730078. https://doi.org/10.1080/23322039.2020.1730078
• Pesaran, M. H., &Yongcheol S. (1999). An autoregressive distributed lag modelling approach to cointegration analysis. In S. Strom (Ed.), Econometrics and economic theory in the 20th century: the ragnar frisch centennial symposium (pp. 371-413). Cambridge University. https://doi.org/10.1017/CCOL521633230.011
• Pesaran, M. H., Yongcheol S., & Richard J. S. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Economics, 16(3), 289–326. https://doi.org/10.1002/jae.616
• Phillips, P. C. B., & Bruce E. H. (1990). Statistical Inference in Instrumental Variables Regression with I(1) Processes, Review of Economics Studies, 57(1), 99–125. https://doi.org/10.2307/2297545
• Rushdi, M., Kim, J. H., & Silvapulle, P. (2011). ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia. Economic Modelling, 29 (2012), 535–543. https://doi.org/10.1016/j.econmod.2011.12.017
• Saikkonen, P. (1992). Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation. Econometric Theory, 8(1), 1–27. https://www.jstor.org/stable/3532143
• Spyrou, S. I. (2001) Stock returns and inflation: evidence from an emerging market, Applied Economics Letters, 8(7), 447-450. https://doi.org/10.1080/13504850010003280
• Spyrou, S. I. (2004). Are stocks a good hedge against inflation? Evidence from emerging markets. Applied Economics, 36(1), 41-48. https://doi.org/10.1080/0003684042000177189
• Stock, J. H., & Mark W. (1993). A simple estimator of cointegrating vectors in higher order ıntegrated systems. Econometrica, 61(4), 783–820. https://doi.org/10.2307/2951763
• Tiwari, A. K., Dar, A. B., Bahnja, N., Arouri, M., & Teulon, F. (2015). Stock returns and inflation in Pakistan. Economic Modelling, 47, 23-31. https://doi.org/10.1016/j.econmod.2014.12.043
• Tripathi, V., & Kumar, A. (2015). Short run causal relationship between ınflation and stock returns - an empirical study of BRICS markets. Asian Journal of Management Applications and Research, 5 (1).