Inflation volatility and stock prices: Evidence from ARCH effects |
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| Authors: | Panayotis Alexakis Nicholas Apergis Emmanuel Xanthakis |
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| Affiliation: | (1) The University of the Aegean, Greece;(2) the University of Macedonia, Greece;(3) the University of Athens, Greece |
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| Abstract: | This paper examines the impact of inflation uncertainty on stock prices in developed as well as in emerging capital markets over the period 1980:1–93:12 via an Autoregressive Conditional Heteroskedasticity (ARCH) model for inflation. The results seem to support the presence of a negative association between inflation uncertainty and stock prices.The authors would like to thank, without implicating, Gikas Hardouvelis, Costas Karfakis, and especially the discussant of the conference session held in Williasmsburg, Robert C. Winder, for helpful comments and suggestions. |
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