INFLATION AND ROI IN THE TEHRAN STOCK MARKET REEXAMINING THE FAMA HYPOTHESIS

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AZIZI FIROUZEH; KHODAVAISI HASSAN; JOHARI FATEMEH

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Journal: JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH) Year:2012 | Volume:12 | Issue:2 Page(s): 117-136

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Title

INFLATION AND ROI IN THE TEHRAN STOCK MARKET REEXAMINING THE FAMA HYPOTHESIS

Author(s)

AZIZI FIROUZEH | KHODAVAISI HASSAN | JOHARI FATEMEH | Issue Writer Certificate

Keywords

TEHRAN STOCK EXCHANGEQ2

FISHER HYPOTHESISQ2

HEDGE AGAINST INFLATIONQ2

FAMA HYPOTHESISQ2

Abstract

In Economics literature many studies tried to examine whether stocks are perfect HEDGE AGAINST INFLATION. The answer is not conclusive. In this paper, using data from Tehran stock market, the relationship between inflation and stock returns during April 1991 till March 2009 is reexamined. The empirical results have shown that FISHER HYPOTHESIS, which asserts that stocks are perfect HEDGE AGAINST INFLATION, has been rejected and also it is revealed that stocks are a weak HEDGE AGAINST INFLATION in Tehran stock market. Fama has already tried to explain why FISHER HYPOTHESIS did not hold in some situations. In this paper FAMA HYPOTHESIS is examined and it is found out that Fama explanation for the rejection of the FISHER HYPOTHESIS is hardly acceptable and the negative relationship between inflation and real rate of return of the stocks in Tehran stock market can be attributed to temporary part of the inflation.

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APA: Copy

AZIZI, FIROUZEH, KHODAVAISI, HASSAN, & JOHARI, FATEMEH. (2012). INFLATION AND ROI IN THE TEHRAN STOCK MARKET REEXAMINING THE FAMA HYPOTHESIS. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), 12(2), 117-136. SID. https://sid.ir/paper/86519/en

Vancouver: Copy

AZIZI FIROUZEH, KHODAVAISI HASSAN, JOHARI FATEMEH. INFLATION AND ROI IN THE TEHRAN STOCK MARKET REEXAMINING THE FAMA HYPOTHESIS. JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH)[Internet]. 2012;12(2):117-136. Available from: https://sid.ir/paper/86519/en

IEEE: Copy

FIROUZEH AZIZI, HASSAN KHODAVAISI, and FATEMEH JOHARI, “INFLATION AND ROI IN THE TEHRAN STOCK MARKET REEXAMINING THE FAMA HYPOTHESIS,” JOURNAL OF SUSTAINABLE GROWTH AND DEVELOPMENT (THE ECONOMIC RESEARCH), vol. 12, no. 2, pp. 117–136, 2012, [Online]. Available: https://sid.ir/paper/86519/en

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