000 01647pab a2200205 454500
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040 _cWelingkar Institute of Management Development & Research, Mumbai
_aWelingkar Institute of Management Development & Research, Mumbai
041 _aENG
082 _a
_bAl-
100 _aAl-Khazali Osamah M
245 _aSrock Prices, Inflation, and Output : Evidence from the Emerging Markets
250 _a3
260 _a
_bSept - Dec ,2003
_c0
300 _a287--314 Pp.
490 _v2
520 _aThis article examines the short and long-term relationships between stock prices, inflation, and output in 21 emerging capital markets. It also investigates whether the proxy hypothesis can explain the puzzling negative relation between stock returns and inflation. The study shows that in the short run the negative relationship between stock returns and inflation still persist for all countries except Malaysia, even after the effects of expected economic activity and inflation variability have been explicitly incorporated. Furthermore, the results of the generalized autoregressive conditional heteroscedastic (GARCH) model are consistent with the OLS results. These results reject the proxy-effect hypothesis in the short run. However, in the long run, cointegration tests verify a long-run equilibrium between stock prices, consumer price index, and the real economic activity. The findings support the fisher effect and the proxy hypotheses in the long run only.
650 _aStock Prizes, Inflation
856 _uhttp://192.168.6.13/libsuite/mm_files/Articles/AR6109.pdf
906 _a17749
999 _c26053
_d26053