ABSTRACT

Understanding the Stock Return-Inflation Nexus is a continuing concern among scholars. The main goal of the current study was to critically examine the view that the relation between stock return and inflation is potentially asymmetric. To capture the possibility of dynamic nonlinearity and, in turn, asymmetry, the nonlinear Autoregressive Distributed lag model (NARDL) was deployed. This study has identified that the responses of stock return are generally asymmetric. In other words, the results suggest that contractionary time appears to reduce the stock returns more than expansionary time does.

中文翻译：

---

股票收益-通货膨胀关系；基于非线性ARDL的回顾性证据

摘要

了解股票收益率-通货膨胀关系一直是学者们一直关注的问题。当前研究的主要目标是批判性地研究股票收益率和通胀之间的关系可能不对称的观点。为了捕获动态非线性和不对称的可能性，部署了非线性自回归分布滞后模型（NARDL）。这项研究已经确定，股票收益的响应通常是不对称的。换句话说，结果表明收缩时间似乎比扩张时间减少了股票收益。