Stock returns and inflation in Fiji

Sami, Janesh (2024) Stock returns and inflation in Fiji. International Journal of Business and Society, 25 (2). pp. 426-439. ISSN 1511-6670

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Abstract

The relationship between stock returns and inflation has important implications for monetary policy and stock market investment and has attracted growing attention from scholars over recent years. Despite this, the empirical evidence so far has been inconclusive. The main objective of this paper is to investigate the impact of inflation on stock returns in the developing stock market of Fiji. We examine the impact of inflation on stock market returns within the GARCH and EGARCH modelling framework using monthly data from 2000:02 to 2018:06 and find that inflation negatively affects stock market returns. Our results indicate the importance of ensuring price stability and suggest that stock market investment will not help hedge against inflation in Fiji. The results suggest that Fiji’s stock market is likely to react more negatively to inflation in response to countercyclical monetary policy and emphasize the significance of portfolio diversification.

Item Type:	Journal Article
Uncontrolled Keywords:	EGARCH, Fiji, Inflation, Investment, Stock Returns
Subjects:	H Social Sciences > HB Economic Theory
Divisions:	School of Accounting, Finance and Economics (SAFE)
Depositing User:	Nirma Narayan
Date Deposited:	15 Dec 2024 23:22
Last Modified:	14 Jan 2025 04:20
URI:	https://repository.usp.ac.fj/id/eprint/14690

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