Common stock returns and inflation : an investigation of İstanbul Securities Exchange
Author(s)
Advisor
Aydoğan, KürşatDate
1990Publisher
Bilkent University
Language
English
Type
ThesisItem Usage Stats
126
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Abstract
This study investigates the existence of a relaticriship cet^^ıc-eгı
returris or. conmon stccks and expected inflation i' lurke.. Ihie
relationship: is tested within the fram£?v^ork of Fishe- Effect wising
a single ei.i£^tion rezression mcDdel. The regressior» pa.raniete'~E are
tested tc see whether an increase in expectez inflatizn is
accoTip£vnjer by an ec-ic.l increase in nominal returrs. leavi-i the
real rate cznstarit. T^x? test results sho-j that, when actual
inflation rates are used to proxy expected inflaticr. hypothesis of
existence c* Fisher Effect on stock returns is rejected; arc that
it fails to be rejected whien Box Jenkins red^esentatizr. of
inflatioTi IS used as the proxy. The dichotoory is Sviderice c' t^ie
fact that ihz test results for Fisher Effect c"e n)ctr-cco3ogy
dependent, and thiat inferences on Fisher's Theor~y snould t>z made
with cauticr..
Keywords
Fisher Effect
Expected Inflation
Adaptive Expectations
Nominal vs real returns
Box Jenkins hfethodology
Stationer