TY - JOUR
T1 - The long-run relationship between stock returns and inflation in developing countries
T2 - Further evidence from a nonparametric cointegration test
AU - Maghyereh, Aktham
PY - 2006/7/1
Y1 - 2006/7/1
N2 - 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.
AB - 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.
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U2 - 10.1080/13504850500401528
DO - 10.1080/13504850500401528
M3 - Article
AN - SCOPUS:33746268112
SN - 1744-6546
VL - 2
SP - 265
EP - 273
JO - Applied Financial Economics Letters
JF - Applied Financial Economics Letters
IS - 4
ER -