STOCK MARKET REACTION TO GOOD AND BAD INFLATION NEWS Academic Article

abstract

• This article shows that differentiating between good and bad inflation news is important to understanding how inflation affects stock market returns. Summing positive and negative inflation shocks as in previous studies tends to wash out or mute the effects of inflation news on stock returns. More specifically, we find that, depending on the economic state, positive and negative inflation shocks can produce a variety of stock market reactions. We conclude that the effect of inflation on stock returns is conditional on whether investors perceive inflation shocks as good or bad news in different economic states. 2008 The Southern Finance Association and the Southwestern Finance Association.

authors

• Kolari, James

published proceedings

• The Journal of Financial Research

author list (cited authors)

• Knif, J., Kolari, J., & Pynnnen, S.

citation count

• 27

complete list of authors

• Knif, Johan||Kolari, James||Pynnönen, Seppo

publication date

• June 2008

publisher

• Wiley  Publisher

published in

• Journal of Financial Research  Journal

keywords

• 35 Commerce, Management, Tourism And Services
• 3502 Banking, Finance And Investment

Digital Object Identifier (DOI)

• 10.1111/j.1475-6803.2008.00235.x

start page

• 141

end page

• 166

volume

• 31

issue

• 2

URL

• http://dx.doi.org/10.1111/j.1475-6803.2008.00235.x