• Inflation volatility and stock prices: Evidence from ARCH effects

      Apergis, Nicholas; Alexakis, Panagiotis; Xanthakis, Emmanuel; University of Macedonia; University of Aegean; University of Athens (Springer, 1996-05)
      This paper examines the impact of inflation uncertainty on stock prices in developed as well as in emerging capital markets over the period 1980:1–93:12 via an Autoregressive Conditional Heteroskedasticity (ARCH) model for inflation. The results seem to support the presence of a negative association between inflation uncertainty and stock prices.