Using monthly data from seven mature and emerging markets and a battery of GARCH and EGARCH models, the study of Davis and Kutan (2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three mature markets (US, Japan,...

Using monthly data from seven mature and emerging markets and GARCH and EGARCH models, the study of Davis and Kutan (Applied Financial Economics, 13, 693-700, 2003) on inflation and output on stock returns and volatility is extended by including interest rate to compare the effect between three...

This paper aims to examine whether inflation targeting fits in Malaysia. The relationship between CPI, money supply (M1), money market rate, and exchange rate of the Malaysian economies from 1976:M1 to 2007:M12 is tested, considering the major transmission mechanism channels in the conduct of...