Local and global price memory of international stock markets
In: Proceedings of the University of Vaasa / Discussion papers 213
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In: Proceedings of the University of Vaasa / Discussion papers 213
In: Commentationes scientiarum socialium 40
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 31, Heft 2, S. 141-166
ISSN: 1475-6803
AbstractThis article shows that differentiating between good and bad inflation news is important to understanding how inflation affects stock market returns. Summing positive and negative inflation shocks as in previous studies tends to wash out or mute the effects of inflation news on stock returns. More specifically, we find that, depending on the economic state, positive and negative inflation shocks can produce a variety of stock market reactions. We conclude that the effect of inflation on stock returns is conditional on whether investors perceive inflation shocks as good or bad news in different economic states.
In: Multinational Finance Journal, Band 17, Heft 1/2, S. 1-47
SSRN
In: The quarterly review of economics and finance, Band 48, Heft 3, S. 567-578
ISSN: 1062-9769
SSRN
Working paper