aFaculty Member, Economic Department, University of Economic Sciences, Tehran, Iran
bMaster of Science in Socio-Economic Systems Engineering, University of Economic Sciences, Tehran, Iran
Online published on 11 November, 2014.
This study investigates the inflation-hedging ability of stock in comparison to other investments during 1999Q1 to 2013Q1 in Iran with regard to gold, stock, housing and foreign currencies markets and by using ordinary least squares method. The results show that return of investment in gold, foreign currency (dollar), stock and housing provided complete hedge against inflation, respectively and performance of gold and foreign currency (dollar), were close to each other in inflation hedging and they were better than stock. This investigation have various results about the various stock groups, so among 16 groups under study the groups of oil products, wooden products, basic metals, chemical products, and textiles were complete hedge against inflation. Also, the optimal portfolio comprised different stock groups based on Sharp's single-factor model in this time interval provided complete hedge against inflation.
Asset Returns, Inflation, Inflation Hedging
