2012), Inflation and Stock Price Behaviour in Selected Asian Economies: An Econometric Snapshot

Abstract: The empirical nexus between stock prices and inflation in an economy has been subjected to the intensive research, predominantly for the developed countries as well as in emerging economies of the world. The objective of this study is to examine the relationship between inflation and the stock prices and to assess the impact of inflation on stock prices of five Asian economies-India, Hongkong,Singapore,Japan and Korea over the period,2002-2010. The result suggests that in countries like Hongkong and Singapore, long run relationship exists between inflation rate and stock prices but short run causality disappears whereas in case of India and Korea, short run unidirectional granger causality running from inflation to stock prices is found to exist but long run cointegrating relationship disappears. Results of correlation analysis show that except in case of Korea, correlations between inflation and stock prices are positive in most of the case