Inflation Hedging Properties of Different Asset Classes in Malaysia

IF 0.8 Q4 BUSINESS, FINANCE

Asian Journal of Business and Accounting Pub Date : 2019-06-27 DOI:10.22452/AJBA.VOL12NO1.8

S. Lee, M. Isa

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引用次数: 3

Abstract

Manuscript type: Research paper Research aims: The objective of this study is to examine the inflation hedging properties of various asset classes (stock, gold, real estate, Treasury bond and Treasury bill) in the Malaysian context. Design/Methodology/Approach: This is an empirical analysis using quarterly data from the period of 1980 to 2016. The Autoregressive Distributed Lag (ARDL) bounds cointegration model is used for testing the long-run relationship while the error correction model (ECM) is used for testing the short-run dynamics. Research findings: Our results show that stocks and government bonds in Malaysia can provide a complete hedge against inflation in the long-run while real estate shows partial hedging evidence. Gold and Treasury bills, however, are not inflation hedges. For the shortrun, stocks, gold and real estate show evidence of rapid adjustment to changes in inflation while government securities indicate a mild adjustment. Theoretical contributions/Originality: First, this study provides new evidence on inflation hedges from the perspective of an emerging market. Second, this study uses the ARDL and ECM approach to study the long-run and short-run dynamics of asset returns and inflation. This is in contrast to many previous studies that mainly used the Ordinary Least-Squares (OLS) analysis. Third, this study is important for the Malaysian market because previous studies in Malaysia had merely focussed on stock returns and inflation. This study broadens the scope by including different asset classes. Practitioner/Policy implications: The implication to investors and fund managers is that they should consider stocks, real estate and Treasury bonds in their investment portfolios, given that these asset returns offer satisfactory protection against inflation. Research limitations/Implications: The result discussed in this study may be specific to the data and methodology employed in the analysis; thus, it is not applicable to other periods nor other emerging markets. Future studies on inflation hedges may consider a comparative study of a cross-section of countries or use an expanded array of assets in the analysis. Keywords: Fisher Effect, Inflation Hedges, ARDL Bounds Tests, Malaysia JEL Classification: G12, G18

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马来西亚不同资产类别的通胀对冲资产

研究目的:本研究的目的是研究马来西亚背景下各种资产类别(股票、黄金、房地产、国债和国库券)的通胀对冲属性。设计/方法/方法:这是一个使用1980年至2016年季度数据的实证分析。自回归分布滞后(ARDL)边界协整模型用于检验长期关系，误差修正模型(ECM)用于检验短期动态。研究发现:我们的研究结果表明，马来西亚的股票和政府债券在长期内可以提供对通货膨胀的完全对冲，而房地产则有部分对冲证据。然而，黄金和国库券并不能对冲通胀。就短期而言，股票、黄金和房地产显示出对通胀变化的快速调整，而政府证券则显示出温和的调整。理论贡献/独创性:首先，本研究从新兴市场的角度为通胀对冲提供了新的证据。其次，本文采用ARDL和ECM方法研究了资产收益与通货膨胀的长期和短期动态关系。这与之前许多主要使用普通最小二乘(OLS)分析的研究形成对比。第三，这项研究对马来西亚市场很重要，因为马来西亚以前的研究只关注股票回报和通货膨胀。这项研究通过纳入不同的资产类别扩大了范围。从业者/政策启示:对投资者和基金经理的启示是，他们应该在投资组合中考虑股票、房地产和国债，因为这些资产的回报能提供令人满意的抗通胀保护。研究局限/启示:本研究中讨论的结果可能特定于分析中使用的数据和方法;因此，它不适用于其他时期，也不适用于其他新兴市场。未来关于通货膨胀对冲的研究可以考虑对国家的横截面进行比较研究，或者在分析中使用更多的资产。关键词:费雪效应，通货膨胀对冲，ARDL边界检验，马来西亚JEL分类:G12, G18

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来源期刊

Asian Journal of Business and Accounting BUSINESS, FINANCE-

CiteScore

2.00

自引率

11.10%

发文量

期刊介绍： An academic journal that aims to advance knowledge in the business and accounting disciplines, to narrow the gap between theory and practice, and to set direction for policy initiatives in Asia. Welcome to the Asian Journal of Business and Accounting (AJBA). AJBA is an international refereed journal, published biannually (30th June and 30th December) by the Faculty of Business and Accountancy, University of Malaya, Malaysia. AJBA aims to publish scholarly business researches that are relevant to Malaysia and the Asian region. It intends to highlight the practical implications in promoting better business decision making process and the formulation of public policy in Asia. This journal publishes theoretical, conceptual, and empirical papers within the broad areas of business and accounting in Asia. The AJBA covers a broad spectrum of the business and accounting disciplines. A suggestive (though not necessarily comprehensive) list of areas that would be included in this journal are: general management, strategic management, human resource management, organizational behaviour, labour and industrial relations, international business management, business communication, entrepreneurship, leadership, management science, operations management, production management, supply chain management, marketing management, brand management, consumer behaviour, information management, e-marketing, e-commerce, quality management, retailing, service marketing, hospitality management, hotel and tourism management, asset pricing, capital and money markets, corporate finance, derivatives markets, finance and banking, financial economics, etc.