Publication:
Inflation hedging effectiveness of an emerging Asian market: the case of Malaysia
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Mansor H. Ibrahim | |
| dc.date.accessioned | 2016-06-06 | |
| dc.date.accessioned | 2016-07-25T20:05:50Z | |
| dc.date.available | 2016-06-06 | |
| dc.date.available | 2016-07-25T20:05:50Z | |
| dc.date.disclosure | 2016-06-10 | |
| dc.date.issued | 2011 | |
| dc.description.abstract | This paper empirically examines the inflation-hedging property of an emerging stock market, Malaysia, for full sample (1988–2008), pre-crisis sample (1988–1996) and post-crisis sample (1999–2008) by means of asymmetric cointegration and asymmetric error-correction modelling. The focus is on the long-run relation between stock prices and consumer prices, the adjustment speed of the stock market to restore the long-run relation and their short run interactions. From the analyses, we uncover evidence supporting the long-run inflation-hedging ability of the Malaysian stock market only during the pre-crisis period. Its hedging ability, however, weakens for the full sample and is absent post-crisis. In the short run, we note that rising inflation tends to be followed by stock market decline. | |
| dc.identifier.citation | Ibrahim, M. H. (2011). Inflation hedging effectiveness of an emerging Asian market: the case of Malaysia. International Journal Economics and Business Research, 3(5), pp. 514-525. | |
| dc.identifier.uri | https://ikr.inceif.edu.my/handle/INCEIF/1448 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Inderscience | |
| dc.rights | 2011. Inderscience | |
| dc.source | CRP | |
| dc.subject | Inflation hedging | |
| dc.subject | Stock market | |
| dc.subject | Asymmetry | |
| dc.subject | Malaysia | |
| dc.title | Inflation hedging effectiveness of an emerging Asian market: the case of Malaysia | |
| dc.type | Journal Article | |
| dlc.maintopic | Conventional finance | |
| dlc.subtopic | Capital markets | |
| dspace.entity.type | Publication | |
| ikr.doctype | Scholarly Works | |
| ikr.topic.maintopic | Conventional finance | |
| ikr.topic.subtopic | Conventional finance | |
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| relation.isAuthorOfPublication.latestForDiscovery | a45f0c66-a9b7-4f24-b073-1c875276163a | |
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