THE RELATIONSHIP BETWEEN INFLATION AND STOCK MARKET: EVIDENCE FROM MALAYSIA, UNITED STATES AND CHINA.

Caroline Geetha · Rosle Mohidin

83 citations0/0 files storedUMS Institutional Repository (Universiti Malaysia Sabah)

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Market Dynamics and Volatility

Abstract

The study aims to find the relationship between inflation and stock returns. Inflation was distinguished as expected and unexpected inflation. The study revealed that there is long run relationship between expected and unexpected inflation with stock returns but there is no short run relationship between these variables for Malaysia and US, but it exists for China.

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References

1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1988Statistical analysis of cointegration vectors 1977Asset returns and inflation 2002The Asian financial crisis and the co-movement of Asian stock markets 1988The Predictive Power of the Term Structure During Recent Monetary Regimes 2001Inflation and rates of return on stocks: evidence from high inflation countries 2002The long-run relationship between inflation and real stock prices

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