The Nonlinear Effect of Inflation on the Stock Market: A Threshold Regression Approach

• DOI: 10.47750/qas/24.193.02
• Publication Date: 2023-02-16T06:51:51Z
• Authors: Toan Ngoc Bui; My-Linh Thi Nguyen
• Keywords: Threshold model

In this paper, the authors examine nonlinear effect of inflation on stock market among emerging and developing economies (EMDEs) in Asia.The is measured by its capitalization to GDP.The data are collected Asian EMDEs including China, Indonesia, India, Sri Lanka, Malaysia, Thailand, Philippines, Vietnam from period 2008-2020.By combining threshold effects generalized method moments (GMM), acknowledge with level 1.9%.Specifically, below 1.9%, positively correlated market.This effect, however, turns out be negative when above 1.9%.Besides, also reveal positive influence economic growth trade openness enhances important role control macroeconomic improvements boosting market.These findings essential for EMDEs.