基于分位数回归的中国股市费雪效应检验——以上证综指与行业分类指数为对象  

A Test of Fisher Effect in China's Stock Market Based on Quantile Regression:Taking Shanghai Composite Index and Industry-Classfied Indexes as Research Objects

作　　者：许启发[1,2] 王长久[1] 蒋翠侠[1] 

机构地区：[1]合肥工业大学管理学院,安徽合肥230009 [2]合肥工业大学过程优化与智能决策教育部重点实验室,安徽合肥230009

出　　处：《当代财经》2013年第12期58-68,共11页Contemporary Finance and Economics

基　　金：国家自然科学基金项目(71071087;70901048);高等学校全国优秀博士学位论文作者专项资金资助项目(200982);中央高校基本科研业务费专项资金资助项目(2011HGRJ0006;2012HGBZ0189);山东省自然科学基金项目(ZR2010GM005)

摘　　要：股票能否在通胀期间起到保值作用,一直受到学术界和实务界的关注。基于上证综指和上交所编制的五个行业分类指数为对象,运用分位数回归方法对中国股票市场总体以及细分行业市场的股票实际收益率和通胀率之间的关系进行实证研究,结果表明:上证综指实际收益和总体通胀在各个分位点处均呈反向关系并且回归系数显著,意味着中国股票市场总体不存在费雪效应;五个行业分类指数实际收益和总体通胀在各个分位点处也呈反向关系,但在高分位点处的回归系数不显著,意味着在高分位点处费雪效应成立;如果将通胀细分为预期通胀与非预期通胀,则非预期通胀对实际收益的影响比预期通胀对实际收益的影响更明显。Scholars and practitioners always pay close attention to the question whether stocks have ability to maintain their values during inflation. Taking Shanghai composite index and the five industry-classfied indexes compiled by Shanghai Stock Exchange as the research objects, this paper adopts the quantile regression model to conduct an empitical research of the relationship between the stock real return rate and the inflation rate in the overall China＇s stock market and the subdivided industry market. The results indicate that there is almost no Fisher effect in China＇s stock market, for the real earnings of Shanghai composite index and the overall inflation are showing a reverse relation- ship at every quantile and the regression coefficient is significant. The real earnings of the five indus- try classfled indexes and the overall inflation are showing a reverse relationship at each quantile, but the regression coefficients are not significant at the upper quanitles, which implies that Fisher effect exists at those quantiles. If inflation is divided into the expected inflation and the non-expected infla- tion, the non-expected inflation has more significant influence on real earnings than the expected in- flation.

关 键 词：费雪效应 分位数回归 股票市场 通货膨胀 行业分类指数 

分 类 号：F830.91[经济管理—金融学]