Hedging against inflation encompasses investing in gold, bonds, stocks and real estate in order to reduce the negative impact of inflation, i.e. the effect of a decline in purchasing power. Due to the lack of an adequate hedging strategy, this thesis examines the possibility of hedging against inflation on the Croatian capital market using six sector indices listed on the Zagreb Stock Exchange (ZSE). Based on the data from April 2013 to December 2022, wavelet coherence analysis was carried out. Empirical results show that inflation was the leading variable in the coherent movements with positive correlation between the inflation rate and the CROBEXnutris index returns only in the second half of 2022, thus suggesting the possibility of protection for a very short period. Coherent movements between other sector indices returns and the inflation rate exists in short periods with returns as the leading variable, implying the inability of hedging against inflation. Sector indices of the Zagreb Stock Exchange mostly do not show the possibility of hedging against inflation and allude to the illiquidity of the Croatian capital market.