通货膨胀对我国股市条件波动影响的统计检验  

Testing for the impact of inflation on china's stock market conditional volatility

作　　者：欧阳敏华[1,2] 

机构地区：[1]暨南大学经济学院,广州510632 [2]仲恺农业工程学院管理学院,广州510225

出　　处：《江苏商论》2012年第3期149-152,共4页Jiangsu Commercial Forum

摘　　要：将通货膨胀因素引入到GARCH模型的方差方程中,以检验通货膨胀、通货膨胀变动以及通货膨胀不确定性对股市条件波动的影响。实证分析的结果表明,在统计意义上,通货膨胀及其变动对股市收益的条件波动几乎不会产生影响,而通货膨胀不确定性对股市波动的影响是显著的。这一结果意味着管理好通胀预期,降低通货膨胀不确定性,引导公众形成合理的通胀预期对促进股市平稳发展具有重要意义。In order to test the impact of inflation and inflation uncertainty on china＇s stock market conditional volatility,the inflation factors are introduced into the variance equation of GARCH model.The empirical result shows that inflation and its changes have nearly no effect on china＇s stock market conditional volatility,but inflation uncertainty on the stock market fluctuations is significant,in the statistical sense.This result implies it＇s important to management inflation expectation and to guide the public to form a reasonable stable inflation uncertainty.Reducing inflation uncertainty to promote the steady development of the stock market is of great significance.

关 键 词：股市 通货膨胀 条件波动 统计检验 

分 类 号：F832.5[经济管理—金融学]