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Inflation Hedge Abilities of Stock Returns Compared to Government Debt Securities in Egypt: Evidence from ARDL and NARDL Frameworks

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Last updated: 04 Jan 2025

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Abstract

This study aims to investigate the inflation hedge abilities of Egyptian stock market returns compared to the returns of treasury bills and government bonds in Egypt. To achieve this, monthly data from March 2011 to December 2023 were employed in linear and nonlinear autoregressive distributed lag (ARDL& NARDL) frameworks. In the long run, the study results show a positive, symmetrical relationship between positive and negative shocks in the inflation rates and the returns of stock market indices, treasury bills, and government bonds. In the short run, the findings indicate negative effects of inflation rise shocks on stock and T-bill returns, while G-bond returns are not significantly affected. These results suggest that in the long run, the Egyptian stock market returns can be considered a safe haven and can provide good hedging against inflation risks as various Egyptian government fixed-income debt securities. The results of this study have significant implications for investors, as they can consider Egyptian stocks in their portfolios as effectively inflation-hedging assets on the long-term horizon, even during periods of sharp fluctuations in inflation rates. Additionally, some important implications for policymakers are derived from the study's findings of securities inflation hedging in the short run.

DOI

10.21608/acj.2024.379180

Keywords

Stocks, Treasury Bills, Government bonds, Inflation, hedging, Egypt, Emerging market, ARDL, NARDL

Authors

First Name

Hanaa Abdelaziz

Last Name

Elmoghany

MiddleName

-

Affiliation

Assistant Professor Business Administration Department Faculty of Business, Alexandria University, Egypt

Email

hanaa.abdelazez@alexu.edu.eg

City

Alexandria

Orcid

-

Volume

61

Article Issue

5

Related Issue

50296

Issue Date

2024-09-01

Receive Date

2024-05-14

Publish Date

2024-09-01

Page Start

1

Page End

36

Print ISSN

2682-4183

Online ISSN

2682-4191

Article File

ACJ_Volume 61_Issue 5_Pages 1-36.pdf

PDF . 2.4MB

Link

https://acjalexu.journals.ekb.eg/article_379180.html

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https://acjalexu.journals.ekb.eg/service?article_code=379180

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المقالة الأصلية

Type Code

759

Publication Type

Journal

Publication Title

مجلة جامعة الإسکندرية للعلوم الإدارية

Publication Link

https://acjalexu.journals.ekb.eg/

MainTitle

Inflation Hedge Abilities of Stock Returns Compared to Government Debt Securities in Egypt: Evidence from ARDL and NARDL Frameworks

Details

Type

Article

Created At

24 Dec 2024