期刊
ECONOMIC MODELLING
卷 26, 期 5, 页码 1089-1092出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.econmod.2009.04.005
关键词
Fisher hypothesis; Stock return; Inflation; Real activity; Wavelets
类别
The negative relationship between real stock return and inflation puzzled many as it contradicts conventional Fisherian wisdom. Fama [Fama, E.F. (1981), Stock returns, real activity, inflation and money, American Economic Review, 71 (September), 545-564.] gave an explanation for this negative relationship with two propositions that links real stock return and inflation through real output. This study revisits Fama's hypothesis for India in the post-liberalized period from a developing country perspective. Examining this relationship on the time-scale decomposition from a wavelet multi-resolution analysis suggests that Fama's hypothesis holds only for the long time scale and remains as a puzzle for the other time scales. (C) 2009 Elsevier B.V. All rights reserved.
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