Abstract
This study examines the transmission and response of inflation uncertainty on real stock returns in India, using multivariate Generalised Autoregressive Conditional Heteroscedasticity (GARCH) and Exponential Generalised Autoregressive Conditional Heteroscedasticity (EGARCH) methodology. Results suggest that inflation uncertainty has had a significantly negative impact on real stock retums for India. These findings are robust and Generalised Impulse Response functions (GJRF) and Granger Causality corroborate the conclusion. These findings have important implications regarding stabilisation policy in general, and especially in the financial market.
| Original language | English |
|---|---|
| Title of host publication | International Finance for Infrastructure Development |
| Editors | Rudra O. Pradhan |
| Place of Publication | India |
| Publisher | Bloomsbury |
| Pages | 445-455 |
| Number of pages | 11 |
| ISBN (Print) | 9788192430232 |
| Publication status | Published - 2012 |
Keywords
- inflation (finance)
- uncertainty
- EGARCH
- GIRF
- real stock return