Stock Returns and Inflation: a Bibliometric Analysis

Authors

DOI:

https://doi.org/10.26668/businessreview/2023.v8i2.1547

Keywords:

Stock Returns, Inflation, Bibliometric Analysis, Author Keyword, Co-Occurrence, Bibliographic Coupling

Abstract

Purpose:  The challenging economic climate and increasing inflationary pressures have made it necessary to re-evaluate inflation research and its impact on the stock market. The purpose of this study is to use bibliometric analysis to review scholarly writing on stock returns and inflation from 1975 to 2022.

 

Design/methodology/approach:  This study analyses bibliometric markers such as the number of citations, authors, journals, and institutions using the Web of Science database to discover publishing patterns and illustrate commonalities.

 

Findings:  The study indicates that the volatility domain has gained more attention, therefore there is a necessity for future research to model predictive accuracy to match the rising volatility and uncertainty environment. Due to the expanding energy theme from bibliographic coupling analysis and the oil-related macroeconomic factors cluster from author keyword co-occurrence analysis, the study revealed a research gap that underlines the need for a green and sustainable stock market.

 

Research, Practical & Social implications: The study suggests a need for future research to increase academic collaboration and to contribute toward the development of theoretical and empirical literature.

 

Originality/value:   The results revealed that it is vital to revise the current theory to integrate theoretical implications in light of the volatile market conditions and rising inflation rate.

Downloads

Download data is not yet available.

References

Alagidede, P., and Panagiotidis, T. (2012). Stock returns and inflation: Evidence from quantile regressions. Economics Letters, 117(1), 283-286.

Araújo, C., & Carneiro Junior, E. (2020). A Bibliometric Analysis of the Intellectual Structure of Studies on Slavery in the 21st Century. International Journal of Professional Business Review (JPBReview), 5(1), 105-127. doi:http://dx.doi.org/10.26668/businessreview/2020.v5i1.175

Asiedu, E. L., Mireku-Gyimah, D., Kamasa, K., and Otoo, H. (2021). Interest rate, inflation and stock market performance in Ghana: a sector based vector error correction model perspective. African Journal of Business and Economic Research, 16(1), 185 - 206. https://doi.org/10.31920/1750-4562/2021/v16n1a8

Bashir, M. F. (2022). Oil price shocks, stock market returns, and volatility spillovers: a bibliometric analysis and its implications. Environmental Science and Pollution Research, 1-20. https://doi.org/10.1007/s11356-021-18314-4

Bassar, T. S., Effendi, N., Hidayat, A. K., and Budiono, B. (2021). The Effect of Inflation Rate, Exchange Rate, The Certificate of Bank Indonesia (SBI) Interest Rate and Sharia Stock Trading Volume on Sharia Stock Performance in Companies Listed on the Indonesian Sharia Stock Index (ISSI). International Journal of Multicultural and Multireligious Understanding, 8(3), 326. https://doi.org/10.18415/ijmmu.v8i3.2494

Beck, T., and Levine, R. (2004). Stock markets, banks, and growth: Panel evidence. Journal of Banking and Finance, 28(3), 423–442. https://doi.org/10.1016/s0378-4266(02)00408-9

Bekaert, G., and Harvey, C. R. (1997). Emerging equity market volatility. Journal of Financial Economics, 43(1), 29-77. https://doi.org/10.1016/s0304-405x(96)00889-6

Bekaert, G., and Harvey, C. R. (2000). Capital flows and the behavior of emerging market equity returns (pp. 159-194). Capital Inflows to Emerging Markets. NBER and University of Chicago Press. https://doi.org/10.2139/ssrn.103120

Bekaert, G., and Hodrick, R. J. (1992). Characterizing predictable components in excess returns on equity and foreign exchange markets. The Journal of Finance, 47(2), 467-509. https://doi.org/10.1111/j.1540-6261.1992.tb04399.x

Bollerslev, T., Chou, R. Y., and Kroner, K. F. (1992). ARCH modeling in finance: A review of the theory and empirical evidence. Journal of Econometrics, 52(1-2), 5–59. https://doi.org/10.1016/0304-4076(92)90064-x

Boyd, J. H., Levine, R., and Smith, B. D. (2001). The impact of inflation on financial sector performance. Journal of Monetary Economics, 47(2), 221-248.

Brennan, M. J., Schwartz, E. S., and Lagnado, R. (1997). Strategic asset allocation. Journal of Economic Dynamics and Control, 21(8-9), 1377-1403.

Broadus, R. N. (1987). Toward a definition of “bibliometrics”. Scientometrics, 12(5), 373-379. https://doi.org/10.1007/BF02016680

Brown, G. W., and Cliff, M. T. (2005). Investor sentiment and asset valuation. The Journal of Business, 78(2), 405-440. https://doi.org/10.1086/427633

Campbell, J. Y., and Ammer, J. (1993). What moves the stock and bond markets? A variance decomposition for long‐term asset returns. The Journal of Finance, 48(1), 3-37. https://doi.org/10.1111/j.1540-6261.1993.tb04700.x

Campbell, J. Y., and Hamao, Y. (1992). Predictable stock returns in the United States and Japan: A study of long‐term capital market integration. The Journal of Finance, 47(1), 43-69. https://doi.org/10.1111/j.1540-6261.1992.tb03978.x

Campbell, J. Y., and Hentschel, L. (1992). No news is good news: An asymmetric model of changing volatility in stock returns. Journal of Financial Economics, 31(3), 281–318. https://doi.org/10.1016/0304-405x(92)90037-x

Cancino, C. A., Merigo, J. M., Torres, J. P., and Diaz, D. (2018). A bibliometric analysis of venture capital research. Journal of Economics, Finance and Administrative Science, 23(45), 182–195. https://doi.org/10.1108/jefas-01-2018-0016

Caputo, A., Marzi, G., Maley, J., and Silic, M. (2019). Ten years of conflict management research 2007-2017: An update on themes, concepts and relationships. International Journal of Conflict Management, 30(1), 87-110. https://doi.org/10.1108/ijcma-06-2018-0078

Caraiani, P., and Cǎlin, A. C. (2020). The impact of monetary policy shocks on stock market bubbles: International evidence. Finance Research Letters, 34, 101268.

Cassola, N., and Morana, C. (2004). Monetary policy and the stock market in the euro area. Journal of Policy Modeling, 26(3), 387-399.

CFI Team. (2020). National Bureau of Economic Research (NBER). Retrieved June 30, 2022:https://corporatefinanceinstitute.com/resources/knowledge/economics/national-bureau-of-economic-research-nber/

Chatziantoniou, I., Gabauer, D., and Marfatia, H. A. (2021). Dynamic connectedness and spillovers across sectors: Evidence from the Indian stock market. Scottish Journal of Political Economy. https://doi.org/10.1111/sjpe.12291

Chen, J., Zhu, X., and Li, H. (2020). The pass-through effects of oil price shocks on China's inflation: A time-varying analysis. Energy Economics, 86, 104695. https://doi.org/10.1016/j.eneco.2020.104695

Chen, N. F. (1991). Financial investment opportunities and the macroeconomy. The Journal of Finance, 46(2), 529-554. https://doi.org/10.1111/j.1540-6261.1991.tb02673.x

Choijil, E., Méndez, C. E., Wong, W. K., Vieito, J. P., and Batmunkh, M. U. (2022). Thirty years of herd behavior in financial markets: A bibliometric analysis. Research in International Business and Finance, 59, 101506. https://doi.org/10.1016/j.ribaf.2021.101506

Clark, T. E., and West, K. D. (2007). Approximately normal tests for equal predictive accuracy in nested models. Journal of Econometrics, 138(1), 291–311.

Cong, R. G., Wei, Y. M., Jiao, J. L., and Fan, Y. (2008). Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy, 36(9), 3544-3553. https://doi.org/10.1016/j.enpol.2008.06.006

Cooper, I., and Kaplanis, E. (1994). Home bias in equity portfolios, inflation hedging, and international capital market equilibrium. The Review of Financial Studies, 7(1), 45-60. https://doi.org/10.1093/rfs/7.1.45

Demirer, R., Gupta, R., Li, H., and You, Y. (2021). Financial Vulnerability and Volatility in Emerging Stock Markets: Evidence from GARCH-MIDAS Models (No. 202112). University of Pretoria, Department of Economics.

Engle, R. F., Ghysels, E., and Sohn, B. (2013). Stock market volatility and macroeconomic fundamentals. Review of Economics and Statistics, 95(3), 776-797.

Engle, R. F., and Rangel, J. G. (2008). The spline-GARCH model for low-frequency volatility and its global macroeconomic causes. The Review of Financial Studies, 21(3), 1187-1222. https://doi.org/10.1093/rfs/hhn004

Fama, E. F. (1981). Stock Returns, Real Activity, Inflation and Money, American Economic Review, 71 (4), 545-565.

Federal Reserve Bank of San Francisco. (2012). Outline of the US Economy. Retrieved from https://usa.usembassy.de/etexts/oecon/chap5.htm

Ferson, W. E., and Harvey, C. R. (1991). The variation of economic risk premiums. Journal of Political Economy, 99(2), 385-415. https://doi.org/10.1086/261755

Flannery, M. J., and Protopapadakis, A. A. (2002). Macroeconomic factors do influence aggregate stock returns. The Review of Financial Studies, 15(3), 751-782.

Galí, J. (2014). Monetary policy and rational asset price bubbles. American Economic Review, 104(3), 721-52. https://doi.org/10.1257/aer.104.3.721

García-Corral, F. J., Cordero-García, J. A., de Pablo-Valenciano, J., and Uribe-Toril, J. (2022). A bibliometric review of cryptocurrencies: how have they grown? Financial Innovation, 8(1), 1-31. https://doi.org/10.1186/s40854-021-00306-5

Geske, R., and Roll, R. (1983). The fiscal and monetary linkage between stock returns and inflation. The Journal of Finance, 38(1), 1-33. https://doi.org/10.1111/j.1540-6261.1983.tb03623.x

Gilchrist, S., and Zakrajšek, E. (2012). Credit spreads and business cycle fluctuations. American Economic Review, 102(4), 1692-1720. https://doi.org/10.1257/aer.102.4.1692

Hilmola, O. P. (2021). Inflation and Hyperinflation Countries in 2018–2020: Risks of Different Assets and Foreign Trade. Journal of Risk and Financial Management, 14(12), 618.

Huang, R. D., Masulis, R. W., and Stoll, H. R. (1996). Energy shocks and financial markets. Journal of Futures Markets, 16(1), 1-27.

Ioannidis, C., and Kontonikas, A. (2008). The impact of monetary policy on stock prices. Journal of Policy Modeling, 30(1), 33-53. https://doi.org/10.1016/j.jpolmod.2007.06.015

James, N., and Chin, K. (2022). On the systemic nature of global inflation, its association with equity markets and financial portfolio implications. Physica A: Statistical Mechanics and its Applications, 126895. https://doi.org/10.1016/j.physa.2022.126895

Jareño, F., Ferrer, R., and Miroslavova, S. (2016). US stock market sensitivity to interest and inflation rates: a quantile regression approach. Applied Economics, 48(26), 2469-2481.

Jelilov, G., Iorember, P. T., Usman, O., and Yua, P. M. (2020). Testing the nexus between stock market returns and inflation in Nigeria: Does the effect of COVID‐19 pandemic matter?. Journal of Public Affairs, 20(4), e2289. https://doi.org/10.1002/pa.2289

Kessler, M. M. (1963). Bibliographic coupling between scientific papers. Journal of the Association for Information Science and Technology, 14(1), 10–25.

Kilian, L. (2008). The economic effects of energy price shocks. Journal of Economic Literature, 46(4), 871-909. https://doi.org/10.1257/jel.46.4.871

Kilian, L., and Park, C. (2009). The impact of oil price shocks on the US stock market. International Economic Review, 50(4), 1267-1287.

Kim, E. H., and Singal, V. (2000). Stock Market Openings: Experience of Emerging Economies. Journal of Business, 73(1), 25-66. https://doi.org/10.1086/209631

Kim, S., and Yang, D. Y. (2009). Do capital inflows matter to asset prices? The case of Korea. Asian Economic Journal, 23(3), 323-348. https://doi.org/10.1111/j.1467-8381.2009.02014.x

Köse, N., and Ünal, E. (2021). The effects of the oil price and oil price volatility on inflation in Turkey. Energy, 226, 120392. https://doi.org/10.1016/j.energy.2021.120392

Kumar, S., Managi, S., and Matsuda, A. (2012). Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis. Energy Economics, 34(1), 215-226.

Laopodis, N. T. (2013). Monetary policy and stock market dynamics across monetary regimes. Journal of International Money and Finance, 33, 381-406. https://doi.org/10.1016/j.jimonfin.2012.09.004

Mark, N. C. (1995). Exchange rates and fundamentals: Evidence on long-horizon predictability. The American Economic Review, 201-218.

McCain, K. W. (1996). Dictionary of bibliometrics. Journal of the American Society for Information Science, 47(9), 716-717. https://doi.org/10.1002/(sici)1097-4571(199609)47:9%3C716::aid-asi8%3E3.0.co;2-v

McMillan, D. G. (2021). The Time-Varying Relation between Stock Returns and Monetary Variables. Journal of Risk and Financial Management, 15(1), 9.

McQueen, G., and Roley, V. V. (1993). Stock prices, news, and business conditions. The Review of Financial Studies, 6(3), 683-707. https://doi.org/10.1093/rfs/5.3.683

Mishkin, F. S. (1990). The Information in the Longer Maturity Term Structure About Future Inflation. The Quarterly Journal of Economics, 105(3), 815-828.

Modak, N. M., Sinha, S., Raj, A., Panda, S., Merigó, J. M., and de Sousa Jabbour, A. B. L. (2020). Corporate social responsibility and supply chain management: Framing and pushing forward the debate. Journal of Cleaner Production, 273, 122981.

Nelson, D. B., and Cao, C. Q. (1992). Inequality constraints in the univariate GARCH model. Journal of Business and Economic Statistics, 10(2), 229-235.

Oikawa, K., and Ueda, K. (2018). The optimal inflation rate under Schumpeterian growth. Journal of Monetary Economics, 100, 114-125.

Park, J., and Ratti, R. A. (2008). Oil price shocks and stock markets in the US and 13 European countries. Energy Economics, 30(5), 2587-2608.

Pratama, M. I. S., Aji, T. S., and Witjaksono, A. D. (2022). Analysis of the Effect of Profitability Ratio, Solvency Ratio, Market Value Ratio, Inflation, and Exchange Rate on Stock Return (Case Study of the Agriculture Sector on the IDX from 2016 to 2019). International Journal of Multicultural and Multireligious Understanding, 9(3), 166-175.

Rapach, D. E., Strauss, J. K., and Zhou, G. (2010). Out-of-sample equity premium prediction: Combination forecasts and links to the real economy. The Review of Financial Studies, 23(2), 821-862. https://doi.org/10.1093/rfs/hhp063

Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21(5), 449-469. https://doi.org/10.1016/s0140-9883(99)00020-1

Sadorsky, P. (2001). Risk factors in stock returns of Canadian oil and gas companies. Energy Economics, 23(1), 17-28. https://doi.org/10.1016/s0140-9883(00)00072-4

Salehi, M., Behname, M., and Adibian, M. S. (2021). Structural shocks in monetary policy, exchange rates, and stock prices using SVAR in Iran. International Journal of Islamic and Middle Eastern Finance and Management.

Shakatreh, M., Rumman, M. A. A., & Mugableh, M. I. (2023). Reviewing The Framework Of Risk Management: Policy And Hedging. International Journal of Professional Business Review, 8(1), 1–20. https://doi.org/https://doi.org/10.26668/businessreview/2023.v8i1.928

Stock, J. H., and W Watson, M. (2003). Forecasting output and inflation: The role of asset prices. Journal of Economic Literature, 41(3), 788-829.

Suharyanto, S., and Zaki, A. (2021). The Effect of Inflation, Interest Rate, And Exchange Rate on Stock Returns in Food and Beverages Companies. Jurnal Aplikasi Manajemen, 19(3), 616–622. https://doi.org/10.21776/ub.jam.2021.019.03.14

Tay, B. H., & Gan, P. T. (2016). The determinants of investment rewards: Evidence for selected developed and developing countries. International Journal of Economics and Financial Issues, 6(3), 1180-1188.

Thorbecke, W. (1997). On stock market returns and monetary policy. The Journal of Finance, 52(2), 635-654. https://doi.org/10.1111/j.1540-6261.1997.tb04816.x

Tobin, J. (1965). Money and economic growth. Econometrica: Journal of the Econometric Society, 671-684. https://doi.org/10.2307/1910352

Umaryadi, M. E. W., Saragih, D. A., and Burhan, H. (2021, April). Interest Rate, Inflation and Jakarta Composite Index on Digital Media Based Companies Stock Return in Indonesia. In Journal of Physics: Conference Series (Vol. 1807, No. 1, p. 012025). IOP Publishing.

United Nations (UN), 2020, World economic situation and prospects, United Nations. https://doi.org/10.18356/ee1a3197-en

Van Eck, N. J., and Waltman, L. (2020). Manual for VOSviewer version 1.6.16. Leiden University, Centre for Science and Technology Studies (CWTS).

Wallison, Peter. (2011). The Financial Crisis Inquiry Report, Financial Crisis Inquiry Commission (FCIC), 443-538, The United States of America.

Welch, I., and Goyal, A. (2008). A comprehensive look at the empirical performance of equity premium prediction. The Review of Financial Studies, 21(4), 1455-1508.

World Bank. (2022). Global Economic Prospects, January 2022. The World Bank.

Xu, X., Chen, X., Jia, F., Brown, S., Gong, Y., and Xu, Y. (2018). Supply chain finance: A systematic literature review and bibliometric analysis. International Journal of Production Economics, 204, 160-173. https://doi.org/10.1016/j.ijpe.2018.08.003

Yii, K. J., Tan, C. T., Tan, N. M., Teng, X. W., Khor, T. E., and Fan, S. H. (2021). Hot Money and Stock Market in China: Empirical Evidence from ARDL and NARDL Approaches. International Journal of Business and Society, 22(2), 713-733.

Zhang, D., Zhang, Z., and Managi, S. (2019). A bibliometric analysis on green finance: Current status, development, and future directions. Finance Research Letters, 29, 425-430.

Zhang, H. (2021). An inflation-based ICAPM in China. Pacific-Basin Finance Journal, 68, 101601. https://doi.org/10.1016/j.pacfin.2021.101601

Zhang, Z. (2021). Stock Returns and Inflation Redux: An Explanation from Monetary Policy in Advanced and Emerging Markets. IMF Working Papers, 2021(219). https://doi.org/10.5089/9781513586755.001

Zupic, I., and Čater, T. (2015). Bibliometric methods in management and organization. Organizational Research Methods, 18(3), 429–472.

Downloads

Published

2023-03-01

How to Cite

Hoong, T. B., Ling, T. Y., Hassan, S., & Abdullah, N. M. H. (2023). Stock Returns and Inflation: a Bibliometric Analysis. International Journal of Professional Business Review, 8(2), e01547. https://doi.org/10.26668/businessreview/2023.v8i2.1547