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Are ‘stock returns’ a hedge against inflation in Japan? Determination using ADL bounds testing

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  • Hsiao-Fen Chang

Abstract

In this study, the ADL bounds test, developed by Pesaran et al. (2001), is used to test whether the Japanese stock market can provide a hedge against inflation based on monthly data over the period 2001M1 to 2011M7. Granger causality between stock market returns and inflation is also examined. The results of this study provide a reference for participants in developed stock markets and provide evidence that stock returns hedge against inflation.

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  • Hsiao-Fen Chang, 2013. "Are ‘stock returns’ a hedge against inflation in Japan? Determination using ADL bounds testing," Applied Economics Letters, Taylor & Francis Journals, vol. 20(14), pages 1305-1309, September.
    • Handle: RePEc:taf:apeclt:v:20:y:2013:i:14:p:1305-1309
    DOI: 10.1080/13504851.2013.806772
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    References listed on IDEAS

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    1. Paul Alagidede & Theodore Panagiotidis, 2010. "Can common stocks provide a hedge against inflation? Evidence from African countries," Review of Financial Economics, John Wiley & Sons, vol. 19(3), pages 91-100, August.
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    7. Apergis, Nicholas & Eleftheriou, Sophia, 2002. "Interest rates, inflation, and stock prices: the case of the Athens Stock Exchange," Journal of Policy Modeling, Elsevier, vol. 24(3), pages 231-236, June.
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    Cited by:

    1. Peter Sinka & Peter J. Zeitsch, 2022. "Hedge Effectiveness of the Credit Default Swap Indices: a Spectral Decomposition and Network Topology Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 60(4), pages 1375-1412, December.

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