This paper analyzes the relationship between stock returns and the inflation rates for the UK over a long time
period (February 1790–February 2017) and at different frequencies, by employing a wavelet analysis. We also
compare the results for the UK economy with those for the US and two developing countries (India and South
Africa). Overall, our results tend to suggest that, while the relationship between stock returns and inflation rates
varies across frequencies and time periods, there is no evidence of stock returns acting as an inflation hedge,
irrespective of whether we look at the two developed or the two developing markets in our sample.