TITLE

Can Stocks Hedge against Inflation in the Long Run? Evidence from Ghana Stock Market

AUTHOR(S)
Adam, Anokye Mohammed; Frimpong, Siaw
PUB. DATE
June 2010
SOURCE
International Journal of Business & Management;Jun2010, Vol. 5 Issue 6, p188
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
Based on Fisher (1930) hypothesis, we test whether Ghana stock market can provide hedge against inflation in the long run using cointegration analysis. Using data for the Databank stock Index (DSI) from January 1991 to December 2007, the results give strong support for the hedge property. Thus Ghana stock market provides full hedge against inflation. The outcome of this study holds important lesson for the market participants in developing market (many of which have experienced decades of higher inflation) that current inflation may not necessarily be associated with expectations of lower future returns.
ACCESSION #
51502799

 

Related Articles

  • TESTING THE COINTEGRATION HYPOTHESIS AND ITS CONSEQUENCES ON THE INVESTMENT STRATEGY. AN EMPIRICAL STUDY ON CENTRAL-EASTERN EUROPE. Dumencu, Alexandra // Review of Economic Studies & Research Virgil Madgearu;Jun2012, Vol. 5 Issue 1, p45 

    Based on the theory of cointegration introduced by Engle and Granger and on the methodology developed by Johansen, this paper investigates long term cointegration between Central-Eastern European stock markets and the consequences of using Pairs Trading strategy as an investment approach. The...

  • COINTEGRATION OF KARACHI STOCK MARKET WITH OTHER ASIAN STOCK MARKETS. AKRAM, FEHMIDA; AKRAM, AISHA; ARSHAD, SHANZA; IQBAL, MAZHAR // International Journal of Research in Computer Application & Mana;Dec2013, Vol. 2 Issue 12, p43 

    This paper investigates the cointegration between the stock market price indices of Karachi stock exchange and the major stock exchanges of Malaysia (FTSE), India (BSE 30) and South Korea (KOSPI) using daily data spanning January 2001 to January 2010. The Engle-Granger two step procedure shows...

  • Cointegration, forecasting and international stock prices. Crowder, William J.; Wohar, Mark E. // Global Finance Journal;Fall/Winter98, Vol. 9 Issue 2, p181 

    Illustrates how time series techniques can be used to augment conventional Johansen cointegration tests to determine the number of cointegrating vectors within a cointegrated system when conventional tests yield conflicting results. Example of cointegration among stock price indices from five...

  • Money Growth, Output Growth, and Inflation: A Reexamination of the Modern Quantity Theory's Linchpin Prediction. Brumm, Harold J. // Southern Economic Journal;Jan2005, Vol. 71 Issue 3, p661 

    A testable implication of the modem quantity theory of money, when viewed as a theory of inflation, is the joint hypothesis that (i) there is a one-to-one positive relationship between inflation and the money stock growth rate, (ii) there is a one-to-one negative relationship between inflation...

  • Industrial price determination process in the Turkish private manufacturing industry between 1980 and 2000: a Keynesian approach. Cin, Mehmet Fatih // Journal of Post Keynesian Economics;Spring2005, Vol. 27 Issue 3, p491 

    The Keynesian price model depends especially on some microeconomic factors other than causality relationship between money supply and general price level. Departing from aggregate demand-augmented wage-cost markup version of the Keynesian model is analyzed by using cointegration analysis for the...

  • Re-investigation of the long run relationship between money growth and inflation in Iran: An application of Bounds test approach to cointegration. Heidari, Hassan; Salmasi, Parisa Jouhari // International Proceedings of Economics Development & Research;2011, Vol. 1, p192 

    This paper re-investigates the long-run relationship between money growth and inflation, for the period of 1989- 2007 by using quarterly data of the Iranian economy. As standard unit root tests, such as Augmented Dickey Fuller (ADF) and Philips and Perron (PP) tests, are biased towards the null...

  • Dynamic linkages between emerging European and developed stock markets: Has the EMU any impact? Syriopoulos, Theodore // International Review of Financial Analysis;2007, Vol. 16 Issue 1, p41 

    Abstract: This paper investigates the short- and long-run behavior of major emerging Central European (Poland, Czech Republic, Hungary, Slovakia), and developed (Germany, US) stock markets and assesses the impact of the EMU on stock market linkages. Evidence of one cointegration vector in both a...

  • Co-integration & Causality Analysis among Asian Stock Markets. Khan, Muzammil; Ibn-e-Hassan; Ahmad, Muhammad Shakil // Interdisciplinary Journal of Contemporary Research in Business;Jul2011, Vol. 3 Issue 3, p632 

    This paper empirically analyzes the phenomenon of cointegration amongst selected Asian stock markets. Augmented Dicky Fuller (ADF), Multivariate Cointegration and Engle- Granger Causality tests are applied on the data comprising monthly indices from August 1998-August 2008 to analyze the...

  • Pitfalls in estimates of the relationship between stock returns and inflation. Madsen, Jakob // Empirical Economics;Jul2007, Vol. 33 Issue 1, p1 

    Empirical tests of the Fisher hypothesis give conflicting results, regardless of whether income growth is accommodated in the estimates. This paper shows theoretically and empirically that standard methods of testing the Fisher hypothesis give biased results and that the bias depends on the...

Share

Read the Article

Courtesy of THE LIBRARY OF VIRGINIA

Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics