earticle

영어

We analyzes the relationship between stock returns and inflation in Korea using OLS, Markov-switching(MS-OLS) and IGARCH models. We measure the stock returns and the inflations by the monthly variations of the KOSPI price indexes and the consumer price indexes, respectively. Through the empirical evidence, we suggest that inflation have the negative effects of the real stock returns in bull markets, but have not any effects of it in bear markets during 1980.1-1999.12. and 1980.1-2016.6. Also we see that inflation have not any relations of the real stock returns during 2000.1-2016.6. Furthermore, we suggest that the unexpected inflation and expected inflation both have not influences on real stock returns during 2000.1-2016.6. However, our results show that unexpected inflation have the strong negative effects of the real stock returns in bull markets during 1980.1-1999.12 and 1980.1-2016.6. Therefore we conclude that the real stock returns have not the neutrality of inflation during 1980.1-1999.12, but have it and so hedge inflation during 2000.1-2016.6.