Price inflation and stock returns

Oxman, Jeffrey

doi:10.1016/j.econlet.2012.04.024

Cited by 23 publications

(11 citation statements)

References 13 publications

(21 reference statements)

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“…Lee (2010) found evidence that there was a negative relationship between inflation and stock returns during the post-war period while there was a positive relationship during the pre-war period. Furthermore, Oxman (2012) used data from 1966 to 2009 and separated the sample into two periods, i.e. 1966-1983 and 1984-2009 and observed that there was a rapid price increase in the 1970s that was moderated significantly after the early 1980s but did not appear to have any effect after 1983.…”

Section: Impact Of Macroeconomic Factors On Jakarta Islamic Indexmentioning

confidence: 99%

Can country risks predict Islamic stock index? Evidence from Indonesia

Masrizal

Sukmana

Mustofa

et al. 2021

JIABR

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Purpose This study aims to examine the relationship between the Indonesian Islamic capital market, the country's risk and macroeconomic factors. Design/methodology/approach This study uses the Johansen cointegration test and the vector error correction model (VECM) on monthly data from January 2003 to March 2016 to examine the variables that influenced the Islamic capital market proxied by the Jakarta Islamic Index (JII). Findings The findings indicate the existence of short-term and long-term cointegrations between country risk (political, economic and financial risks), macroeconomic variables (industrial production index, inflation and oil price) and JII. In the long run, financial risk positively affects the JII, whereas economic risks and inflation are negatively related. In the short run, only inflation affect negatively the JII. Practical implications The study emphasizes the critical role of financial risk in affecting the Islamic capital market. Investors negatively respond to higher financial risk and react positively to more increased economic threats. The variable of financial risk has the highest coefficient, indicating that the investors favour a conducive financial environment in deriving JII. Originality/value This study extends the previous literature with an attempt to empirically examine the influence of Indonesia's country risk on the Islamic stock market through VECM.

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Section: Impact Of Macroeconomic Factors On Jakarta Islamic Indexmentioning

confidence: 99%

Can country risks predict Islamic stock index? Evidence from Indonesia

Masrizal

Sukmana

Mustofa

et al. 2021

JIABR

View full text Add to dashboard Cite

show abstract

“…A well-known concept of an increase in the general level of prices, that is inflation, is typically measured through Consumer Price Index (CPI) (Oxman, 2012). However, it is not only the measure of inflation, as there may be different variables affecting inflation.…”

Section: Conceptual Clarification 21 Inflationmentioning

confidence: 99%

“…On that account, the rise in current and expected inflation should raise the nominal dividend payments. Accordingly, Oxman (2012) justified that the discount rate should be calculated by the returns rate which the investors had expected to gain as dividend yield on the stock. For that reason, the rise in inflation expectations should have a positive relationship with the flow of nominal dividend payments for stock.…”

Section: The Effect Of Inflation Rate On Stock Returnsmentioning

confidence: 99%

Macroeconomic Variables and Effect on Stock Prices: Correlation Evidence from Nepal

2022

IJMRA

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This paper attempts to study the macroeconomic factors that affect the stock prices in Nepal. It considers the annual data of four macroeconomic variables that affect the NEPSE Index; inflation rate, broad money supply, gross domestic product, and per capita income from 2011-2021 and tries to find out the influence of these variables on the NEPSE index (stock prices). It uses the Pearson correlation matrix to study the relationship between stock prices ad macroeconomic variables. The results obtained from correlation analysis revealed that market performance of stock prices is found to respond positively to broad money supply and gross domestic product and negatively to the inflation rate as expected. Also, the NEPSE index is not affected by the changes in the per capita income of the nation. These findings help to build up economic and financial policies in the nation and stabilize the capital stock market in Nepal.

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“…Ayrıca, sanayi üretim endeksi, döviz kuru, TÜFE, para arzı, altın fiyatları değişkenlerindeki değişimin İMKB 100 Endeksini pozitif ve anlamlı bir şekilde etkilediği; faiz oranı ve dış ticaret dengesi değişkenlerindeki değişimin ise, negatif ve anlamlı bir şekilde etkilediği belirlenmiştir. Oxman (2012), fiyat enflasyonu ve pay getirilerini S&P 500 Endeksi verileri üzerinden VAR metodu kullanarak incelemiştir. Çalışmadan ulaşılan sonuç, İkinci Dünya Savaşı'ndan sonra fiyat enflasyonu ve pay getirilerinin negatif olarak ilişkilendirilmesinin, çalışmalarda uygulanan modellerin spesifikasyonuna bağlı olduğu şeklindedir.…”

Section: Li̇teratürunclassified

Enflasyon Ve Dış Ticaret Açığının Borsa Endeks Getirileri Üzerindeki Etkisi: Borsa İstanbul 100 Endeksinde Bir Uygulama

Şekeroğlu

Uçan²,

Acar

2019

Muhasebe Ve Finansman Dergisi

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Borsa İstanbul pay piyasası açısından temel endeks niteliğinde olan Borsa İstanbul 100(BİST 100) Endeksi, piyasa değeri ve işlem hacmi en yüksek olan paylardan oluştuğundan, Borsa İstanbul'un durumunu en iyi yansıtan endeks olma özelliğini taşımaktadır. Bu endeksi etkileyen çeşitli makroekonomik değişkenler söz konusudur. Çalışmada, söz konusu makroekonomik değişkenlerden enflasyon ve dış ticaret açığının 2004:M1-2017:M12 dönemlerinde BİST 100 Endeksiyle olan ilişkisi, Johansen ve Gregory&Hansen eşbütünleşme testleri kullanılarak incelenmiştir. Eşbütünleşme testleri yapılmadan önce, birim kök içeren her değişkenin aynı seviyede durağan olmaları gerektiği varsayımı altında, hem geleneksel birim kök testi olan ADF (Augmented Dickey Fuller), hem de yapısal kırılmaları göz önüne alan LS (Lee &Strazicich) birim kök testleri yapılmıştır. Serinin durağan olmayan bazı değişkenleri de durağan hale getirildikten sonra VAR (Vector Autoregressive)modeli uygulanmıştır. Yapılan analizler sonucunda, değişkenler arasında uzun dönemli bir ilişkinin varlığı iki farklı eşbütünleşme testi ile desteklenmiştir. Ayrıca, BİST 100 Endeksinde kısa dönemde meydana gelen oynaklıklar, 14 aylık periyotla uzun dönem dengesine ulaşmaktadır.

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Price inflation and stock returns

Abstract: Working papers are in draft form. This working paper is distributed for purposes of comment and discussion only. Its contents should be considered to be preliminary and may not be reproduced without permission of the copyright holder.

Cited by 23 publications

References 13 publications

Can country risks predict Islamic stock index? Evidence from Indonesia

Can country risks predict Islamic stock index? Evidence from Indonesia

Macroeconomic Variables and Effect on Stock Prices: Correlation Evidence from Nepal

Enflasyon Ve Dış Ticaret Açığının Borsa Endeks Getirileri Üzerindeki Etkisi: Borsa İstanbul 100 Endeksinde Bir Uygulama

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