The stock return-inflation puzzle: do Philippine stocks hedge inflation?
Date
2011-03-31
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
This study employs long-run statistical methods in investigating the actual relation between inflation and stock In In order to test for co-integration between the two variables, we use 23 years of monthly data Philippine Consumer Price Index (CPI) Price Index (CPI) and stock price indexes Philippine Stock Exchange Philippine The results Exchange (PSE). The results of this study indicate that indeed there However, a long-run relation. However, the findings suggest that contrary to classical theory and consistent with previous research, the relation between Philippine and stock returns for the Philippine market is negative.
Description
Keywords
Stock return, Inflation