Are Stock Returns a Good Hedge Against Inflation in the Long Run?

Objective & Hypothesis:In this study, it is aimed to find an answer to the question of whether stock investments provide protection against inflation in the long run.

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Key Findings & Data:In this direction, the long-term relationship between stock index returns, inflation and some other macroeconomic variables was examined using the bounds cointegration test based on the ARDL model, utilizing quarterly data from 1998Q1 to 2022Q1.

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Conclusion & Impact:In the study, estimates made by DOLS and FMOLS techniques were also used to check the reliability of the findings, and similar results were obtained.

🔬Design:Modeling & Simulation

📍Scope:Comprehensive Sample

⚙️Variables:Sınır testi · ARDL · Hata düzeltme modeli

Abstract

In this study, it is aimed to find an answer to the question of whether stock investments provide protection against inflation in the long run. In this direction, the long-term relationship between stock index returns, inflation and some other macroeconomic variables was examined using the bounds cointegration test based on the ARDL model, utilizing quarterly data from 1998Q1 to 2022Q1. Estimates and tests indicate the existence of a long-term relationship between the BIST100 return index, real gross domestic product, consumer inflation and the nominal USDTRY rate. It is understood that the coefficient of the price index variable in the cointegration equation is not statistically different from one. This finding implies that the BIST100 index provides long-term protection against inflation, at least for the analysis period. In the study, estimates made by DOLS and FMOLS techniques were also used to check the reliability of the findings, and similar results were obtained.

Özet

Bu çalışmada hisse senedi yatırımlarının enflasyona karşı uzun dönemde koruma sağlayıp sağlamadığı sorusuna cevap bulmak amaçlanmıştır. Bu doğrultuda ARDL modeline dayalı sınır testi yardımıyla hisse senedi endeksi getirileri ile enflasyon ve diğer bâzı makroekonomik değişkenler arasındaki uzun dönemli ilişki, 1998Q1 – 2022Q1 zaman aralığında gerçekleşmiş çeyrek dönemlik veriler kullanılarak incelenmiştir. Yapılan tahminler ve testler, BİST100 getiri endeksi, reel gayrisafi yurtiçi hasıla, tüketici enflasyonu ve nominal USDTRY kuru arasında uzun dönemli bir ilişkinin varlığına işaret etmektedir. Eşbütünleşme denkleminde fiyat endeksi değişkeninin katsayısının istatistiksel açıdan birden farklı olmadığı anlaşılmaktadır. Bu bulgu da BİST100 endeksinin enflasyona karşı, en azından analiz edilen zaman aralığı için, uzun dönemde koruma sağladığını îmâ etmektedir. Çalışmada, bulguların güvenilirliğini denetlemek üzere ayrıca DOLS ve FMOLS teknikleriyle yapılan tahminler de kullanılmış ve benzer sonuçlar elde edilmiştir.

Keywords

Sınır testi ARDL Hata düzeltme modeli Endeks getirileri Enflasyon Bounds test ECM Stock returns Inflation

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Cite This Article

ÖZDEMİR, A. K., ALTUNTAŞ, S. T., BOZBAĞ, B. M. (2023). Are Stock Returns a Good Hedge Against Inflation in the Long Run?. EKEV Akademi Dergisi, Sayı: 94, 1–16. https://ajindex.com/articles/936369

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