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| Author: | Hasan, M.S. |
| Title: | Stock returns, inflation and interest rates in the United Kingdom |
| Journal: | European Journal of Finance
2008 : OCT-DEC, VOL. 14:7-8, p. 687-699 |
| Index terms: | inflation stocks cointegration models interest rates United Kingdom |
| Freeterms: | stock returns fisher effect Fisherian theory |
| Language: | eng |
| Abstract: | This author examines the Fisherian hypothesis of asset returns using alternative techniques of linear regression, and vector error correction models to examine the nature of the relationship between stock returns and inflation in the UK. The results based on the unit root and cointegration tests indicate a long-run reliable relationship between price levels, share prices, and interest rates which could be interpreted as the long-run determinants of stock returns. The paper suggests a bidirectional relationship between stock returns and inflation. The evidence of a significant Fisher effect is robust across model specifications. |
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