Record Details

REAL STOCK RETURNS, INFLATIONARY TRENDS AND REAL ACTIVITY: Evidence from Malaysia

Gadjah Mada International Journal of Business

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Field Value
 
Title REAL STOCK RETURNS, INFLATIONARY TRENDS AND REAL ACTIVITY: Evidence from Malaysia
 
Creator Majid, M. Shabri Abdul
 
Subject ARIMA; Fama’s (1981) proxy effect; Fisher hypothesis; inflationary trends; Philips curve; real stock returns
 
Description This study explores the relationship between real stock returns and inflationary trends in the Malaysian economy. It attempts to test for the relationship between real stock return and inflation in light of Fisher hypothesis that asserts the independence of real stock return and inflation and Fama’s (1981) proxy effect framework which states that the negative real stock returns-inflation is indirectly explained by a negative real economic activity-inflation and a positive real stock returns-real economicactivity relationships. The finding shows that real stock returns are independent of inflationary trends in accordance with the Fisher hypothesis, which implies that the Malaysian stock market provides a good hedge against inflation. The Fama’s proxy hypothesis is then tested to check for the consistency of the relationships. The positive relationship between inflation and real economic activity and the positive relationship betweenreal stock returns and real economic activity that totally contradicts the Fama’s proxy hypothesis however are found, to some extent, be consistent with the explanation of conventional macroeconomic theories of the Philip’s curve.
 
Publisher Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
 
Date 2013-12-10
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://jurnal.ugm.ac.id/gamaijb/article/view/5390
10.22146/gamaijb.5390
 
Source Gadjah Mada International Journal of Business; Vol 4, No 3 (2002): September-December; 327—346
2338-7238
1411-1128
 
Language eng
 
Relation https://jurnal.ugm.ac.id/gamaijb/article/view/5390/4386