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THE RELATIONSHIP BETWEEN INFLATION AND STOCK MARKET: EVIDENCE FROM MALAYSIA, UNITED STATES AND CHINA.
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THE RELATIONSHIP BETWEEN INFLATION AND STOCK MARKET: EVIDENCE FROM MALAYSIA, UNITED STATES AND CHINA. (2011)THE RELATIONSHIP BETWEEN INFLATION AND ST…The long-run relationship between inflation and real stock prices (2002)The long-run relationship bet…The Asian financial crisis and the co-movement of Asian stock markets (2002)The Asian financial crisis an…Inflation and rates of return on stocks: evidence from high inflation countries (2001)Inflation and rates of return…The Predictive Power of the Term Structure During Recent Monetary Regimes (1988)The Predictive Power of the T…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Asset returns and inflation (1977)Asset returns and inflationThe Effect of Inflation Rates on Stock Market Returns in Sudan: The Linear Autoregressive Distributed Lag Model (2020)The Effect of Inflation Rates…The effect of quantitative easing on stock prices: a structural time series approach (2018)The effect of quantitative ea…An Analytical Study of the Effect of Inflation on Stock Market Returns (2018)An Analytical Study of the Ef…Effects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience (2017)Effects of Macroeconomic Vari…Effects of Interest Rate and Exchange Rate on the Stock Market Performance of Pakistan: A Cointegration Approach (2017)Effects of Interest Rate and …The Impact of Inflation on Stock Prices: Evidence from Pakistan (2015)The Impact of Inflation on St…Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets (2015)Impact of Macroeconomic Varia…Fisher Effect: Evidence From Money Market in Malaysia (2014)Fisher Effect: Evidence From …INFLATION DYNAMICS ON THE OVERALL STOCK MARKET PERFORMANCE: The Case of Nairobi Securities Exchange in Kenya. (2013)INFLATION DYNAMICS ON THE OVE…Impact of Macroeconomic Variables on the Stock Market Prices of the Stockholm Stock Exchange (OMXS30) (2013)Impact of Macroeconomic Varia…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Effects of macroeconomic variables on Istanbul stock exchange indexes (2005)Macroeconomic Factors and Stock Market Movement: Evidence from Ghana (2008)The Effect of Macroeconomic Variables on Stock Prices in Emerging Sri Lankan Stock Market (2010)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Economic variables and stock market returns: evidence from the Athens stock exchange (2006)The impact of macroeconomic and conventional stock market variables on Islamic index returns under regime switching (2016)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)The International Crash of October 1987: Causality Tests (1992)Price and volatility spillovers across North American, European and Asian stock markets (2009)Stock market integration and volatility spillover: India and its major Asian counterparts (2010)Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets (2011)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)The information in the term structure (1984)The effect of changes in the federal funds rate target on market interest rates in the 1970s (1989)The Term Structure as a Predictor of Real Economic Activity (1991)ARCH modeling in finance (1992)Shaw, Edward S., Financial Deepening in Economic Development, New York, Oxford University Press, 1973, xii + 260 pp. ($7.50 cloth, $3.50 paper) (1974)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Finance and Growth: Schumpeter Might Be Right (1993)Macroeconomic Variables and the Kenyan Equity Market: A Time Series Analysis (2014)Oil price shocks and stock returns nexus for Malaysia: Fresh evidence from nonlinear ARDL test (2018)Dynamic relation between macroeconomic variable, stock market returns and stock market development in Ghana (2020)Economic Forces and the Stock Market (1986)Stock Markets, Banks, and Economic Growth (1996)The theory and practice of corporate finance: evidence from the field (2001)Co-movement of stock exchange indices and exchange rates in Ghana: A wavelet coherence analysis (2018)Impact of macroeconomic variables on the performance of stock exchange: a systematic review (2021)Understanding Drivers of Renewable Energy Firm’s Performance (2021)STOCK PRICES, REAL ACTIVITY, INFLATION AND MONEY (1981)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1977Asset returns and inflation2,701 cited
  • 2002The Asian financial crisis and the co-movement of Asian stock markets165 cited
  • 1988The Predictive Power of the Term Structure During Recent Monetary Regimes163 cited
  • 2001Inflation and rates of return on stocks: evidence from high inflation countries135 cited
  • 2002The long-run relationship between inflation and real stock prices90 cited

Cited by

  • 2015Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets161 cited
  • 2017Effects of Macroeconomic Variables on the Stock Market Volatility: The Pakistan Experience48 cited
  • 2013INFLATION DYNAMICS ON THE OVERALL STOCK MARKET PERFORMANCE: The Case of Nairobi Securities Exchange in Kenya.43 cited
  • 2013Impact of Macroeconomic Variables on the Stock Market Prices of the Stockholm Stock Exchange (OMXS30)40 cited
  • 2018An Analytical Study of the Effect of Inflation on Stock Market Returns25 cited
  • 2015The Impact of Inflation on Stock Prices: Evidence from Pakistan19 cited
  • 2017Effects of Interest Rate and Exchange Rate on the Stock Market Performance of Pakistan: A Cointegration Approach

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19 cited
  • 2018The effect of quantitative easing on stock prices: a structural time series approach17 cited
  • 2014Fisher Effect: Evidence From Money Market in Malaysia14 cited
  • 2020The Effect of Inflation Rates on Stock Market Returns in Sudan: The Linear Autoregressive Distributed Lag Model11 cited