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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Luintel, K B | - |
dc.contributor.author | Paudyal, K | - |
dc.coverage.spatial | 34 | en |
dc.date.accessioned | 2007-06-26T20:44:10Z | - |
dc.date.available | 2007-06-26T20:44:10Z | - |
dc.date.issued | 2001 | - |
dc.identifier.citation | Economics and Finance Working papers, Brunel University, 01-08 | en |
dc.identifier.uri | http://bura.brunel.ac.uk/handle/2438/894 | - |
dc.description.abstract | Using aggregate and industry-wise monthly UK data over a period of 44 years we examine the long run relationship between stock return index (St) and retail price index (Pt) in a VAR framework. Univariate tests confirm Pt as I(2); nevertheless pairs of St and Pt are co-integrated and share common I(1) trend. There is no evidence of shared I(2) trend. We find evidence of shifts in the co- integrating ranks and parameters, and accounting for these shifts improved estimates’ precision. The long run price elasticity of return index is consistently above unity, a finding that stands in sharp contrast to the existing ones. Overall our results suggest that tax-paying stock investors are fully insulated against inflation in the long run. | en |
dc.format.extent | 177596 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | Brunel University | en |
dc.title | Stock Returns and Inflation: Some New Evidence | en |
dc.type | Research Paper | en |
Appears in Collections: | Dept of Economics and Finance Research Papers |
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