股票收益与通货膨胀:代理效应还是通货膨胀幻觉  

An Empirical Analysis of Real Stock Returns and Inflation in China:Is There a Proxy Effect or an Inflation Illusion?

作　　者：方文全[1] 

机构地区：[1]上海理工大学管理学院

出　　处：《金融评论》2009年第1期94-98,108,共6页Chinese Review of Financial Studies

摘　　要：本文运用ADL模型实证检验1995～2004年中国和世界主要股市的实际收益与通货膨胀的关系,结果显示,中国股票实际收益与通货膨胀表现为显著的负相关,与西方主要成熟股票市场相比并不异常。经过检验发现,股票收益与实质经济和货币政策都呈现不显著的负相关,并不支持代理假说;同时,存在明显的门槛效应,通货膨胀提高了实际收益,通货紧缩降低了实际收益,通货膨胀幻觉是导致股票收益与通货膨胀呈现负相关的主要原因。This paper examines the relationship between real stock return and inflation for China,US,UK,Japan and Hong Kong during 1995-2004.The result shows that,based on ADL model with panel data,there is a significant and strong negative relationship between real stock return and inflation in China,which not substantially different from that of developed stock markets around the world.Further testing provides adequate evidence to support the inflation illusion hypothesis rather than the proxy hypothesis,on the foundation of a significant threshold effect relationship between real stock returns and inflation,which real return positively correlated to inflation,and negative to deflation in China.

关 键 词：代理效应 股票收益 通货膨胀 

分 类 号：F830.91[经济管理—金融学] F832.51