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REAL STOCK RETURNS, INFLATIONARY TRENDS AND REAL ACTIVITY: Evidence from Malaysia

Gadjah Mada International Journal of Business (GamaIJB) · Vol. 4 No. 3 (2013)

DOI
10.22146/gamaijb.5390
ISSN
2338-7238, 1411-1128
Published
2013-12-10
Publisher
Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada
Language
eng

Abstract

This study explores the relationship between real stock returns and inflationary trends in the Malaysian economy. It attempts to test for the relationship between real stock return and inflation in light of Fisher hypothesis that asserts the independence of real stock return and inflation and Fama’s (1981) proxy effect framework which states that the negative real stock returns-inflation is indirectly explained by a negative real economic activity-inflation and a positive real stock returns-real economicactivity relationships. The finding shows that real stock returns are independent of inflationary trends in accordance with the Fisher hypothesis, which implies that the Malaysian stock market provides a good hedge against inflation. The Fama’s proxy hypothesis is then tested to check for the consistency of the relationships. The positive relationship between inflation and real economic activity and the positive relationship betweenreal stock returns and real economic activity that totally contradicts the Fama’s proxy hypothesis however are found, to some extent, be consistent with the explanation of conventional macroeconomic theories of the Philip’s curve.

Keywords

Collaboration network of the authors

13 authors · 16 co-authorship links · 10 across different organisations

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • International Islamic University Malaysia
  • Universitas Syiah Kuala
  • Universiti Malaysia Sarawak
  • Universiti Teknologi Petronas
  • International Centre for Education in Islamic Finance
  • Universiti Sains Malaysia
  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
Hartomi MaulanaAffiliation unknown1
Said MusnadiUniversitas Syiah Kuala1
Indra Yadi PutraUniversitas Syiah Kuala1
Bakri bin Abdul KarimUniversiti Malaysia Sarawak1
Samsul Ariffin Abdul KarimUniversiti Teknologi Petronas1
Naziruddin AbdullahInternational Islamic University Malaysia1
Salina KassimInternational Islamic University Malaysia1
Mohd Azmi OmarInternational Centre for Education in Islamic Finance1
Ronald RulindoInternational Islamic University Malaysia1
Rosylin Mohd YusofInternational Islamic University Malaysia1
Hasan BasriUniversitas Syiah Kuala1
A.K. Siti‐NabihaUniversiti Sains Malaysia1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://journal.ugm.ac.id/gamaijb/oai, first harvested 28 Okt 2026, last seen 28 Okt 2026.
Original metadata (oai_dc) 
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	<dc:title xml:lang="en-US">REAL STOCK RETURNS, INFLATIONARY TRENDS AND REAL ACTIVITY:  Evidence from Malaysia</dc:title>
	<dc:creator>Majid, M. Shabri Abdul</dc:creator>
	<dc:subject xml:lang="en-US">ARIMA; Fama’s (1981) proxy effect; Fisher hypothesis; inflationary trends; Philips curve; real stock returns</dc:subject>
	<dc:description xml:lang="en-US">This study explores the relationship between real stock returns and inflationary trends in the Malaysian economy. It attempts to test for the relationship between real stock return and inflation in light of Fisher hypothesis that asserts the independence of real stock return and inflation and Fama’s (1981) proxy effect framework which states that the negative real stock returns-inflation is indirectly explained by a negative real economic activity-inflation and a positive real stock returns-real economicactivity relationships. The finding shows that real stock returns are independent of inflationary trends in accordance with the Fisher hypothesis, which implies that the Malaysian stock market provides a good hedge against inflation. The Fama’s proxy hypothesis is then tested to check for the consistency of the relationships. The positive relationship between inflation and real economic activity and the positive relationship betweenreal stock returns and real economic activity that totally contradicts the Fama’s proxy hypothesis however are found, to some extent, be consistent with the explanation of conventional macroeconomic theories of the Philip’s curve.</dc:description>
	<dc:publisher xml:lang="en-US">Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada</dc:publisher>
	<dc:date>2013-12-10</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:type xml:lang="en-US">Peer-reviewed Article</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://journal.ugm.ac.id/gamaijb/article/view/5390</dc:identifier>
	<dc:identifier>10.22146/gamaijb.5390</dc:identifier>
	<dc:source xml:lang="en-US">Gadjah Mada International Journal of Business; Vol 4, No 3 (2002): September-December; 327—346</dc:source>
	<dc:source>2338-7238</dc:source>
	<dc:source>1411-1128</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://journal.ugm.ac.id/gamaijb/article/view/5390/4386</dc:relation>
</oai_dc:dc>