A negative relationship between stock returns and (expected) inflation is frequently observed in empirical work and is considered a puzzle since it is expected that stocks are a good hedge against inflation, so that their real rate of return (actual or expected) ought to be unaffected by changes...

This paper reports the results of various tests of the efficient markets hypothesis (EMH) using daily observations on the Statex Actuaries' Price Index for Australia and the NZSE-40 Index for New Zealand for the period 1975-92. The weak form of the EMH is examined by testing the log of the price...

This study analyses the interrelationships between the share market and the macroeconomy within the framework of a structural vector autoregressive (SVAR) model. The model has just two variables - real share prices and real output - and uses a distinction between temporary and permanent shocks...