Stock return-inflation nexus; revisited evidence based on nonlinear ARDL
Year: 2020
Type: article
Abstract: Understanding the Stock Return-Inflation Nexus is a continuing concern among scholars. The main goal of the current study was to critically examine the view that the relation between stock return and inflation is potentially asymmetric. To capture the possibility of dynamic nonlinearity and, in turn, asymmetry, the nonlinear Autoregressive Distributed lag model (NARDL) was deployed. This study has identified that the responses of stock return are generally asymmetric. In other words, the results suggest that contractionary time appears to reduce the stock returns more than expansionary time does.
Source: Journal of Applied Economics
Author: Huthaifa Alqaralleh
Institution: Mutah University
Language: English
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $1,533
OpenAlex ID: W2997664141