International Journal of Finance & Managerial Accounting

International Journal of Finance & Managerial Accounting

Common Stocks as a Hedge Against Inflation through the Shares of Tehran Stock Exchange Member Companies

Document Type : Original Article

Authors
Yazdan Gudarzi Farahani 1
Omidali Adeli 2
Leila Barati 3
1 Assistant Professor Department of Islamic Economics, Faculty of Economics and Management, University of Qom, Qom, Iran.
2 Associate Professor Department of Islamic Economics, Faculty of Economics and Management, University of Qom, Qom, Iran.
3 PhD in finance management in Islamic Azad University
10.30495/ijfma.2023.68856.1892
Abstract
According to The Fisher (1930) hypothesis implies that broadly selected common stocks should be a hedge against inflation in the long run, in the sense that a change of expected inflation leads to a proportional change in nominal stock return. The goal of this paper was to study hedging against inflation using the shares of member companies of Tehran Stock Exchange. The statistical population includes companies listed on Tehran Stock Exchange. As a statistical sample, 18 companies were selected whose market value at the beginning of 2021 was at least 50% of the total stock market value. The research method is causal and the method of data collection in the field of theoretical literature is based on library studies and in the field of testing the research hypotheses is documentary. The empirical method used is the mixed data sampling (MIDAS) regression model. The results show that the stock prices of companies react differently to the inflation, and therefore it is possible to hedge against inflation by investing in these companies. Also the econometrics model reporting significant relation between nominal stock return and inflation. Moreover, the results show that the ability of companies to hedge against inflation is different, and the stock price changes for portfolios of companies differ in their degree of being explained with respect to inflation beta quantiles.
Keywords
Inflation
Portfolio
Stock Market
Hedging
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