USP Electronic Research Repository

Stock Market Investment and Inflation: Evidence from the United States and Canada

Sami, Janesh (2021) Stock Market Investment and Inflation: Evidence from the United States and Canada. Review of Economic Analysis, 13 (2). NA. ISSN 1973-3909

Full text not available from this repository.

Abstract

This paper examines the long-run relationship between goods prices and stock prices to understand whether stock market investment can help hedge against inflation in the United States (US) and Canada. This study employed an autoregressive distributed lag (ARDL) cointegration test developed by Pesaran, Shin, and Smith (2001), and finds evidence of a positive long-run economic relationship between stock prices and goods prices in both economies over the sample period 1960 to 2019. The long-run elasticity is above one for both economies implying that the developments in the goods market significantly affect the stock market. We undertake a suite of sensitivity checks and find robust evidence that the stock market investment can help hedge against inflation in the United States and Canada.

Item Type: Journal Article
Subjects: H Social Sciences > HG Finance
Divisions: School of Accounting, Finance and Economics (SAFE)
Depositing User: Ms Shalni Sanjana
Date Deposited: 06 Aug 2021 13:38
Last Modified: 06 Aug 2021 13:38
URI: http://repository.usp.ac.fj/id/eprint/12877
UNSPECIFIED

Actions (login required)

View Item