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      • Theses - Department of Management
      • Dept. of Management - Master's degree
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      The relationship between stock returns and inflation in Turkey 1987-1993

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      Author
      Tüzün, Osman N.
      Advisor
      Muradoğlu, Gülnur
      Date
      1994
      Publisher
      Bilkent University
      Language
      English
      Type
      Thesis
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      Abstract
      ■L'ljis study investigates the existence of a negative relationship between real stock returns and inflation, which is observed in other industrialized countries, and a possible explanation for this relationship, in Turkey. This relationship between stock returns and inflation is tested in the light of Kama's "Proxy Effect Hypothesis". This hypothesis suggest that the negative relation between stock returns and inflation is in fact proxying for a more fundamental relationship between real stock returns and real activity. The empirical investigation of the data revealed that the there is a significant negative relationship between forecasts of real activity and inflation. Also the results suggest that there is a positive, although insignificant, relationship between real stock returns and real activity. These two results can be combined to state that the "Proxy Effect Hypothesis" also holds for Turkey.
      Keywords
      Expected Inflation
      Unexpected Inflation
      Stock Returns
      Real and Nominal Return
      Real Activity Growth Rate
      Base Money Growth Rate
      Permalink
      http://hdl.handle.net/11693/17557
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      • Dept. of Management - Master's degree 295
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