14.01.2015 Views

Does the inflation rate affect the performance of the stock market ...

Does the inflation rate affect the performance of the stock market ...

Does the inflation rate affect the performance of the stock market ...

SHOW MORE
SHOW LESS

You also want an ePaper? Increase the reach of your titles

YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.

278<br />

( )<br />

M. Omran, J. Pointon Emerging Markets Reiew 2 2001 263279<br />

References<br />

Asprem, M., 1989. Stock prices, asset portfolios and macroeconomic variables in ten European<br />

countries. J. Bank. Finance 13, 589612.<br />

Banerjee, A., Dolado, J.J., Hendry, D.F., Smith, G.W., 1986. Exploring equilibrium relationships in<br />

econometrics through static models: some Monte Carlo evidence. Oxford Bull. Econ. Stat. 48,<br />

253277.<br />

Benderly, J., Zwick, B., 1985. Inflation, real balances, output, and real <strong>stock</strong> returns. Am. Econ. Rev. 75,<br />

11151123.<br />

Bodie, Z., 1976. Common <strong>stock</strong>s as a hedge against <strong>inflation</strong>. J. Finance 31, 459470.<br />

Bottazzil, L., Corradi, V., 1991. Analyzing <strong>the</strong> risk premium in <strong>the</strong> Italian <strong>stock</strong> <strong>market</strong>: ARCH-M<br />

models vs. non-parametric models. Appl. Econ. 23, 335341.<br />

Boudoukh, J., Richardson, M., 1993. Stock returns and <strong>inflation</strong>: a long-horizon perspective. Am. Econ.<br />

Rev. 83, 13461355.<br />

Boudoukh, J., Richardson, M., Whitelaw, R.F., 1994. Industry returns and Fisher effect. J. Finance 49,<br />

15951615.<br />

CBE Ž Central Bank <strong>of</strong> Egypt ., 19921998, Annual Economic Review, Various Issues Ž CBE, Cairo ..<br />

Chen, S., Jordan, B.D., 1993. Some empirical tests in <strong>the</strong> arbitrage pricing <strong>the</strong>ory; macrovariables versus<br />

derived factors. J. Bank. Finance 17, 6589.<br />

Chen, N., Roll, R., Ross, S.A., 1986. Economic force and <strong>the</strong> <strong>stock</strong> <strong>market</strong>. J. Bus. 59, 383403.<br />

Charemza, W.W., Deadman, D.F., 1992. New Directions in Econometric Practice: General to Specific<br />

Modelling, Co-integration and Vector Autoregression. Edward Elgar Publishing Limited, Aldershot.<br />

Darby, M.R., 1975. The financial and tax effects <strong>of</strong> monetary policy on interest <strong>rate</strong>s. Econ. Esq. 85,<br />

266276.<br />

Dickey, D.A., Fuller, W.A., 1979. Distributions <strong>of</strong> <strong>the</strong> estimators for autoregressive time series with a<br />

unit root. J. Am. Stat. Assoc. 74, 427431.<br />

Dickey, D.A., Fuller, W.A., 1981. Likelihood ratio statistics for autoregressive time series with a unit<br />

root. Econometrica 49, 10571072.<br />

Dickey, D.A., Jansen, D.W., Thornton, D.L., 1991. A primer on cointegration with an application to<br />

money and income. Fed. Reserve Bank St. Louis Rev. 73, 5878.<br />

Dokko, Y., Edelstein, R., 1987. The empirical interrelationships among <strong>the</strong> Mundell and Darby<br />

hypo<strong>the</strong>sis and expected <strong>stock</strong> <strong>market</strong> returns. Rev. Econ. Stat. 69, 161166.<br />

Dolado, J.J., Jenkison, T., Sosvilla-Rivero, S., 1990. Co-integration and unit roots. J. Econ. Surv. 4,<br />

249273.<br />

Doornik, J.A., Hendry, D.F., 1994. PcGive 8.0: An Interactive Econometric Modelling System. International<br />

Thomson Publishing, London.<br />

Engle, R.F., Granger, C.W.J., 1987. Co-integration and error correction: representation, estimation and<br />

testing. Econometrica 55, 251276.<br />

Engle, R.F., Granger, C.W.J., 1991. Long Run Economic Relations: Readings in Co-integration. Oxford<br />

University Press, Oxford.<br />

Erb, C.B., Harvey, C.R., Viskanta, T.E., 1995. Inflation and world equity selection. Financ. Anal. J. 51,<br />

2842.<br />

Fama, E.F., 1981. Stock returns, real activity, <strong>inflation</strong>, and money. Am. Econ. Rev. 71, 545565.<br />

Fama, E.F., Schwert, G.W., 1977. Asset returns and <strong>inflation</strong>. J. Financ. Econ. 5, 115146.<br />

Feldstein, M., 1980a. Inflation and <strong>the</strong> <strong>stock</strong> <strong>market</strong>s. Am. Econ. Rev. 70, 839847.<br />

Feldstein, M., 1980b. Inflation tax rules, and <strong>the</strong> <strong>stock</strong> <strong>market</strong>. J. Monet. Econ. 6, 309331.<br />

Feldstein, M., 1982. Inflation and <strong>the</strong> <strong>stock</strong> <strong>market</strong>: reply. Am. Econ. Rev. 72, 243246.<br />

Feldstein, M., Summers, L., 1979. Inflation and <strong>the</strong> taxation <strong>of</strong> capital income in <strong>the</strong> corpo<strong>rate</strong> sector.<br />

Natl. Tax J. 32, 445470.<br />

Jaffe, J.F., Mandelker, G., 1976. The Fisher effect for risky assets: an empirical investigation. J. Finance<br />

31, 447458.<br />

Lintner, J., 1975. Inflation and security returns. J. Finance 30, 259280.<br />

Mundell, R.A., 1963. Inflation and real interest. J. Polit. Econ. 71, 280283.

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!