Can Stocks Hedge Against Inflation in the Long Run: Evidence from Ghana Stock Market

15 Pages Posted: 10 Apr 2010

See all articles by Anokye M. Adam

Anokye M. Adam

University of Cape Coast - School of Business

Siaw Frimpong

University of Cape Coast - School of Business

Date Written: April 7, 2010

Abstract

Based on Fisher (1930) hypothesis, we test whether Ghana stock market can hedge against inflation in the long run using cointegration analysis. Using data for the Databank stock Index (DSI) from January 1991 to December 2007, the results give strong support for the hedge property. Thus Ghana stock market provide full hedge against inflation. The outcome of this study hold important lesson for the market participants in developing market (many of which have experienced decades of inflation) higher current inflation may not necessarily be associated with expectations of lower future returns

Keywords: Stock Returns, Inflation, hedging, Cointegration

JEL Classification: G10, G15, C32

Suggested Citation

Adam, Anokye M. and Frimpong, Siaw, Can Stocks Hedge Against Inflation in the Long Run: Evidence from Ghana Stock Market (April 7, 2010). Available at SSRN: https://ssrn.com/abstract=1585577 or http://dx.doi.org/10.2139/ssrn.1585577

Anokye M. Adam

University of Cape Coast - School of Business ( email )

Cape coast
Ghana

Siaw Frimpong (Contact Author)

University of Cape Coast - School of Business ( email )

Cape coast
Ghana

HOME PAGE: http://business.ucc.edu.gh/accfinance/staff/mrsiaw

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