Download or read book On the Dynamics of Inflation Stock Returns in India written by Avishek Bhandari and published by . This book was released on 2017 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, an attempt is made to examine the relationship between inflation and stock returns in India using spectral and time-frequency methods. Scale specific relation between inflation and stock returns is unraveled, allowing us to capture the relationship at varying investment horizons. The results based on monthly data from 1994:5 to 2014:11, obtained using spectral and wavelet techniques, reveal that there exist no significant pro-cyclical interdependencies between inflation and stock returns, implying that stock returns are no longer an adequate hedge against inflation.

Download or read book Establishing Causality and Cointegration Between Inflation and Stock Returns for India and China written by Khalid Ul Islam and published by . This book was released on 2016 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock returns have been long considered as hedge against inflation. However, a large amount of evidence favors a negative relationship between inflation and stock returns. This paper investigates the dynamics of Inflation Risk in the Indian and Chinese stock market. The period for the study has been divided into pre-crisis and crisis period owing to the United States sub-prime crisis. Johansen Cointegration test has been used to ascertain the presence of long run relationship between consumer price index values and stock prices. We find that the results support the hedge hypothesis in the Indian context, where inflation and stock returns have been found to move in cohesion in the long run for the entire period of study. However, results do not verify the hedge hypothesis for China, i.e., China's stock market does not provide hedge against inflation. Further, long run Granger Causality test of precedence supports the hedge hypothesis for India in pre-crisis period, the evidence disappearing in the crisis period. Reverse causality hypothesis has been verified in the Indian context in both pre-crisis as well as crisis period by means of short run Granger Causality test. The findings of the study have important implications for policy makers, regulators, academicians and investors at large. While as, inflation is considered as an important variable affecting stock market performance, the same does not seem to be true in the context of the Chinese market.

Download or read book Indian Stock Returns and Macroeconomics written by Shivi Suhag and published by . This book was released on 2023-07-06 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Indian stock returns refer to the performance or profitability of the Indian stock market over a certain period. It is a measure of the gains or losses an investor realizes from investing in Indian stocks. Stock returns can be calculated by comparing the current price of a stock with its purchase price, including any dividends received during the holding period.Macroeconomics, on the other hand, is a branch of economics that deals with the overall performance and behavior of the economy as a whole. It focuses on studying aggregates such as GDP (Gross Domestic Product), inflation, unemployment, interest rates, and other macroeconomic indicators to understand the functioning of the economy and make policy recommendations.The relationship between stock returns and macroeconomics is complex and intertwined. Macroeconomic factors play a significant role in influencing stock market performance. Here are some key macroeconomic variables that impact Indian stock returns: 1. GDP Growth: High GDP growth is generally associated with increased corporate profits and positive investor sentiment, leading to higher stock returns. Conversely, low or negative GDP growth can dampen investor confidence and result in lower stock returns.2. Inflation: Inflation refers to the general increase in prices of goods and services over time. Moderate inflation can be conducive to stock market performance as it indicates a growing economy. However, high inflation can erode purchasing power and negatively impact corporate profitability, leading to lower stock returns.3. Interest Rates: Changes in interest rates have a direct impact on the cost of borrowing and the attractiveness of different investment options. Lower interest rates generally favor stock market investments as they make equities more attractive relative to fixed-income securities. Conversely, higher interest rates may reduce stock market returns as investors shift towards safer fixed-income investments.4. Monetary Policy: The policies implemented by the Reserve Bank of India (RBI), such as adjustments to the repo rate or cash reserve ratio, can influence liquidity and credit conditions in the economy. Accommodative monetary policy measures can stimulate economic growth and boost stock returns, while tight monetary policy can have the opposite effect.5. Fiscal Policy: Government spending, taxation, and fiscal deficit also impact the stock market. Expansionary fiscal policies, such as increased government spending, can stimulate economic activity and have a positive effect on stock returns. Conversely, contractionary fiscal policies may dampen investor sentiment and lead to lower stock returns.It's important to note that stock market returns are also influenced by company-specific factors, market sentiment, investor behavior, and other variables apart from macroeconomic factors. Therefore, analyzing Indian stock returns requires considering a wide range of factors, including both macroeconomic indicators and specific market dynamics.

Download or read book Short Run Causal Relationship Between Inflation and Stock Returns An Empirical Study of BRICS Markets written by Vanita Tripathi and published by . This book was released on 2015 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: Equity investment is assumed to be a good hedge against inflation since long time. This paper examines short run causal relationship between inflation and stock return in emerging BRICS markets. The study covers a comprehensive period of 13 years from the year 2000 to 2013 using quarterly data. The regression results reveal a significant positive relationship between changes in inflation and stock returns only in case of Brazil. But, Granger causality results reveal unidirectional causality from stock return to changes in inflation in Russia, India and South Africa and bidirectional causality in China. Hence, there seem to be a cause and effect relationship between stock returns and inflation in emerging markets. The results are of pertinent importance in today's context where emerging markets are facing the problems of rising inflation and volatile stock returns. The policy regulators need to understand these dynamics between inflation and stock returns to ensure better regulation of the markets. For investors particularly large and institutional investors the study findings support trading based on inflation forecasts efficiency of Indian stock market.

Download or read book IMPACT OF INFLATION ON EQUITY STOCK RETURNS AN EMPIRICAL STUDY OF SELECT INDIAN BLUE CHIP COMPANIES written by Evuru Poleraiah and published by Epoleraiah Books. This book was released on 2022-11-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is a state of economic condition in which there will be an increase in the general level of prices for goods and services. This book is about a study that attempts to give in-depth understanding of all aspects of inflation such as measurement of inflation, various prevailing hypothesis, relation between inflation & stock markets, causes and effects of inflation economics. It details causes, reasons & lessons from inflation and deals about the cost of inflation. The topics of CPI, other causes of inflation, fiscal deficits, effects of inflation and various types of inflation are described. Literature review is presented. Following aspects of study are made available. (1) Evaluation of the stock price movements and performance of BSE 30 stocks, (2) Examining the relationship between Inflation and stock returns of sample stocks, (3) Scrutinizing the relation between inflation and sample industries, (4) Understanding the impact of inflation on individual company performance and (5) Investigating causes for inflation and effect on stocks Research methodology is outlined and conceptual and statistical tools applied for analysis are detailed. Data Analysis of Stock Price Performance and Impact of Inflation on Industries are covered. The book covers the study aimed to understand and measure the impact of inflation on individual stock returns and industries. Based on the prior research it is assumed that inflation have negative impact on stock returns and stock markets. Earlier studies reported mixed results. Very few studies reported that inflation will have negative impact on stock returns. At the same time there are studies which argue that inflation will have positive impact on stock returns. On the other hand there are studies which do not find any statistically significant association between inflation and stock returns.

Download or read book Stock Returns and Inflation in India written by Jyoti Kumari and published by . This book was released on 2014 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relationship between stock returns and inflation in India during 1991:4 to 2009:3. Weekly, monthly and quarterly indexes of BSE Sensex and NSE Nifty are used. Weekly, monthly and quarterly Wholesale Price Index (WPI) and monthly Consumer Price Index (CPI) are used as measures of inflation. The analysis is also carried for the subperiod 2002:4-2009:3, and the pre-crisis and post-crisis analysis is conducted through the analysis of the subperiod 2005:1-2009:4. Unit root tests, Granger causality test and regressions are performed for examining the nexus between the variables. Vector Autoregression (VAR) methodology has been employed to investigate the causal link between stock returns and inflation. Impulse Response Functions (IRF) check the response to disturbance in the system. The results suggest that there is no significant relation between stock returns and inflation in post-reform period in India.

Download or read book Stock Returns inflation Relation in India written by K. R. Shanmugam and published by . This book was released on 2008 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamics of Trading Volume and Stock Returns written by Manik Lakhani and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This project intends to study the relationship between stock returns and their trading volume and to test the causality effects. It focuses on the 50 stocks of CNX Nifty which is a value-weighted stock index of National Stock Exchange of India. Three proxies of trading volume namely, numbers of transactions, total traded quantity (volume) and total Rupee value of the traded quantity (turnover) have been taken and the asymmetry in the relationship of returns and volume is tested through regression. The study also tries to find the best proxy for volume through granger causality. The results indicate that there is asymmetry in the relation between returns and volume and the best proxy of the volume is the turnover or the value of shares traded.

Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.

Download or read book An Introduction to Wavelets and Other Filtering Methods in Finance and Economics written by Ramazan Gençay and published by Elsevier. This book was released on 2001-10-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. The first book to present a unified view of filtering techniques Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series Provides easy access to a wide spectrum of parametric and non-parametric filtering methods

Download or read book Current Issues in the Economy and Finance of India written by Aswini Kumar Mishra and published by Springer. This book was released on 2018-09-13 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume highlights important points of achieving a balanced and sustained growth path from diverse economics and finance perspectives, touching on a wide array of economic and social analyses in India. Featuring contributions presented at the 2018 International Conference on Economics and Finance (ICEF-2018) held at the Birla Institute of Technology and Science, Pilani, Goa, India, the enclosed papers explore topics such as inflation dynamics, information transmission in post-recession era, leverage effect and volatility asymmetry, structural change and economic growth and reforming tax systems, among others. The Indian economy today is remarkable and, not surprisingly, it is growing very rapidly. It has emerged as the fastest growing major economy in the world as per the Central Statistical Organization (CSO) and International Monetary Fund (IMF) and it is expected to be one of the top three economic powers of the world over the next 10 to15 years, backed by its strong democracy and partnership. At the backdrop of impressive progress of the Indian economy during the last two decades, the question that remains to be answered is does India still have a long way to go before it is functioning well as a market economy? This book critically examines the performance of the Indian economy at the national, state and sectorial levels. Featuring contributions from leading academicians, scholars and practitioners from Asia and the rest of the world, this book is an asset to students, professors, scholars, practitioners and policy makers in the areas of India economics, finance and sustainable development.

Download or read book Understanding India s Food Inflation written by Rahul Anand and published by International Monetary Fund. This book was released on 2016-01-05 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past decade, India has seen a prolonged period of high inflation, to a large extent driven by persistently-high food inflation. This paper investigates the demand and supply factors behind the contribution of relative food inflation to headline CPI inflation. It concludes that in the absence of a stronger food supply growth response, food inflation may exceed non-food inflation by 21⁄2–3 percentage points per year. The sustainability of a long-term inflation target of 4 percent under India’s recently-adopted flexible inflation targeting framework will depend on enhancing food supply, agricultural market-based pricing, and reducing price distortions. A well-designed cereal buffer stock liquidation policy could also help mitigate food inflation volatility.

Download or read book The Distributional Implications of the Impact of Fuel Price Increases on Inflation written by Mr. Kangni R Kpodar and published by International Monetary Fund. This book was released on 2021-11-12 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the response of consumer price inflation to changes in domestic fuel prices, looking at the different categories of the overall consumer price index (CPI). We then combine household survey data with the CPI components to construct a CPI index for the poorest and richest income quintiles with the view to assess the distributional impact of the pass-through. To undertake this analysis, the paper provides an update to the Global Monthly Retail Fuel Price Database, expanding the product coverage to premium and regular fuels, the time dimension to December 2020, and the sample to 190 countries. Three key findings stand out. First, the response of inflation to gasoline price shocks is smaller, but more persistent and broad-based in developing economies than in advanced economies. Second, we show that past studies using crude oil prices instead of retail fuel prices to estimate the pass-through to inflation significantly underestimate it. Third, while the purchasing power of all households declines as fuel prices increase, the distributional impact is progressive. But the progressivity phases out within 6 months after the shock in advanced economies, whereas it persists beyond a year in developing countries.

Download or read book Regional Aspects of Monetary Policy in Europe written by Jürgen von Hagen and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary union has dawned in Europe. Now that the common currency is a reality, questions concerning the practical conduct of monetary policy in the European Monetary Union (EMU) are moving to the forefront of the policy debate. Among these, one of the most critical is how the new monetary union will cope with the large heterogeneity of its member economies. Given the large differences in economic and financial structures among the EMU member states, monetary policy is likely to affect different member economies in different ways. Regional Aspects of Monetary Policy in Europe collects the proceedings of an international conference held at the Center for European Integration Studies of the University of Bonn, dedicated to this issue. The contributions to this conference fall into two parts. The first part consists of empirical and theoretical studies of the regional effects of monetary policy in heterogeneous monetary unions. The second part consists of papers analyzing the political economy of monetary policy in a monetary union of heterogeneous regions or member states. The papers all support the conclusion that regional differences in the responses to a common monetary policy will make European monetary policy especially difficult in the years to come. Such differences arise from a variety of sources, and they cannot be expected to be mere teething troubles that will disappear after a while. Even if they were ignored in the run-up to the EMU, Europe's central bankers and economic policy makers will have to learn how to cope with such differences in the future.

Download or read book Anatomy of Global Stock Market Crashes written by Gagari Chakrabarti and published by Springer Science & Business Media. This book was released on 2012-01-05 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work is an exploration of the global market dynamics, their intrinsic natures, common trends and dynamic interlinkages during the stock market crises over the last twelve years. The study isolates different phases of crisis and differentiates between any crisis that remains confined to the region and those that take up a global dimension. The latent structure of the global stock market, the inter-regional and intra-regional stock market dynamics around the crises are analyzed to get a complete picture of the structure of the global stock market. The study further probing into the inherent nature of the global stock market in generating crisis finds the global market to be chaotic thus making the system intrinsically unstable or at best to follow knife-edge stability. The findings have significant bearing at theoretical level and on policy decisions.

Download or read book Geopolitical Risk on Stock Returns Evidence from Inter Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.

Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel