Economic Change and Restructuring

, Volume 52, Issue 4, pp 413–438 | Cite as

Stock returns and inflation: a tale of two periods in India

  • Niyati Bhanja
  • Arif Billah DarEmail author


The relationship between stock returns and inflation has been tested in relation to hedge ability of stocks against inflation. The study covers a period of over five decades (1960–2014) and examines both pre- and post-structural economic reform experiences in India. This empirical analysis exploits the techniques of both Discrete and Continuous wavelet transforms. In the methodological framework of Wavelets, first it analyses the individual volatility characteristics of stock returns and inflation using wavelet power spectra, followed by their relationship at different time horizons. The empirical evidence suggests the two variables to be independent across time horizons lending support to stocks as instrument of hedge against inflation. The results are robust to techniques and sub-samples, as well.


Hedge Wavelet Stock prices Inflation 

JEL Classification

C40 G10 G12 E31 


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© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  1. 1.MICA - The School of IdeasAhmedabadIndia
  2. 2.School of EconomicsShri Mata Vaishno Devi UniversityKatraIndia

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