Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/45418
Authors: 
Alagidede, Paul
Panagiotidis, Theodore
Year of Publication: 
2010
Series/Report no.: 
TÜSİAD-Koç University Economic Research Forum working paper series 1022
Abstract: 
The extent to which the stock market provides a hedge to investors against inflation is examined for African stock markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the elasticities of stock prices with respect to consumer prices range from 0.015 for Tunisia to 2.264 for South Africa, evidence of a positive long-run relationship. Further, the time path of the response of stock prices to innovations in consumer prices exhibits a transitory negative response for Egypt and South Africa, which becomes positive over longer horizons: important indication that the stock market tends to provide a hedge against rising consumer prices in African markets.
Subjects: 
Stock Prices
Inflation
Fisher Effect
African Stock Markets
Cointegration
JEL: 
G10
G15
C32
Document Type: 
Working Paper

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