The long-run relationship between stock returns and inflation in developing countries: Further evidence from a nonparametric cointegration test

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)

Abstract

This study indirectly examines the issue of potential nonlinear long-run relationship between stock returns and inflation for 18 developing countries using recent developments in the theory of nonparametric cointegration. The empirical results found evidence of a nonlinear adjustment towards the long-run relationship between stock returns and inflation for 13 out of the 18 developing countries considered in this study. These findings are tentatively interpreted as adding to the recent evidence of nonlinearities in the relationship between stock returns and inflation.

Original languageEnglish
Pages (from-to)265-273
Number of pages9
JournalApplied Financial Economics Letters
Volume2
Issue number4
DOIs
Publication statusPublished - Jul 1 2006
Externally publishedYes

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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