Elmoghany, Hanaa Abdelaziz. (2024). Inflation Hedge Abilities of Stock Returns Compared to Government Debt Securities in Egypt: Evidence from ARDL and NARDL Frameworks. مجلة جامعة الإسکندرية للعلوم الإدارية, 61(5), 1-36. doi: 10.21608/acj.2024.379180
Hanaa Abdelaziz Elmoghany. "Inflation Hedge Abilities of Stock Returns Compared to Government Debt Securities in Egypt: Evidence from ARDL and NARDL Frameworks". مجلة جامعة الإسکندرية للعلوم الإدارية, 61, 5, 2024, 1-36. doi: 10.21608/acj.2024.379180
Elmoghany, Hanaa Abdelaziz. (2024). 'Inflation Hedge Abilities of Stock Returns Compared to Government Debt Securities in Egypt: Evidence from ARDL and NARDL Frameworks', مجلة جامعة الإسکندرية للعلوم الإدارية, 61(5), pp. 1-36. doi: 10.21608/acj.2024.379180
Elmoghany, Hanaa Abdelaziz. Inflation Hedge Abilities of Stock Returns Compared to Government Debt Securities in Egypt: Evidence from ARDL and NARDL Frameworks. مجلة جامعة الإسکندرية للعلوم الإدارية, 2024; 61(5): 1-36. doi: 10.21608/acj.2024.379180
Inflation Hedge Abilities of Stock Returns Compared to Government Debt Securities in Egypt: Evidence from ARDL and NARDL Frameworks
Assistant Professor Business Administration Department Faculty of Business, Alexandria University, Egypt
المستخلص
This study aims to investigate the inflation hedge abilities of Egyptian stock market returns compared to the returns of treasury bills and government bonds in Egypt. To achieve this, monthly data from March 2011 to December 2023 were employed in linear and nonlinear autoregressive distributed lag (ARDL& NARDL) frameworks. In the long run, the study results show a positive, symmetrical relationship between positive and negative shocks in the inflation rates and the returns of stock market indices, treasury bills, and government bonds. In the short run, the findings indicate negative effects of inflation rise shocks on stock and T-bill returns, while G-bond returns are not significantly affected. These results suggest that in the long run, the Egyptian stock market returns can be considered a safe haven and can provide good hedging against inflation risks as various Egyptian government fixed-income debt securities. The results of this study have significant implications for investors, as they can consider Egyptian stocks in their portfolios as effectively inflation-hedging assets on the long-term horizon, even during periods of sharp fluctuations in inflation rates. Additionally, some important implications for policymakers are derived from the study's findings of securities inflation hedging in the short run.
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