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Appears in Collections:Economics Working Papers
Peer Review Status: Unrefereed
Title: Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries
Author(s): Alagidede, Paul
Panagiotidis, Theodore
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Citation: Alagidede P & Panagiotidis T (2010) Can Common Stocks Provide A Hedge Against Inflation? Evidence from African Countries. Stirling Economics Discussion Paper, 2010-07.
Keywords: Stock Prices
Fisher Effect
African Stock Markets
JEL Code(s): G10
Issue Date: Apr-2010
Series/Report no.: Stirling Economics Discussion Paper, 2010-07
Abstract: The extent to which the stock market provides a hedge to investors against inflation is examined for African stock markets. By employing parametric and nonparametric cointegration procedures, we show that the point estimates of the elasticities of stock prices with respect to consumer prices range from 0.015 for Tunisia to 2.264 for South Africa, evidence of a positive long-run relationship. Further, the time path of the response of stock prices to innovations in consumer prices exhibits a transitory negative response for Egypt and South Africa, which becomes positive over longer horizons: important indication that the stock market tends to provide a hedge against rising consumer prices in African markets.
Type: Working or Discussion Paper
Affiliation: Economics
University of Macedonia

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