股票收益与通货膨胀悖论及其原因

自从20世纪70年代以来，通货膨胀成为当今世界各国普遍存在的经济现象。费雪效应表明，股票可以抵御通货膨胀，是一种良好的套期保值资产。但是，20世纪70年代以来国内外大量的实证研究表明。股票收益率与通货膨胀率之间并不存在正相关关系，而是呈负相关关系。本文对股票收益与通货膨胀问负相关关系的原因进行了系统总结和梳理。     

通货膨胀对中国股票市场收益率影响实证研究

在现代社会,通胀已经成为了一种普遍的经济现象,文章针对通货膨胀对中国股票市场收益率的关系展开了理论与实证研究。在金融理论中,描述通货膨胀与资产收益率的关系的主要是"费雪效应"。费雪认为预期的资产名义收益率应该等于预期的实际收益率加上预期的通货膨胀率。文章立足于中国股票市场,对股票市场收益与通货膨胀率之间的关系进行实证研究,结果表明:不论是沪市还是深市,通胀率对股指收益均不存在明显的影响,即二者之间是不存在显著的相关关系的。     

基于MSVAR模型的房地产通货膨胀效应研究

笔者运用Markov区制转移模型对我国房地产波动的通货膨胀效应进行研究,发现我国房地产波动的通胀效应具有区制依赖性特点:通货膨胀率预期成分在低速增长区制和中速增长区制阶段,均显著影响房地产收益率,并且方向相反;在三个区制中通货膨胀率的周期成分均显著影响房地产波动,在高速发展阶段房地产波动的通胀效应表现为"代理假说",其余阶段均表现为"费雪假说"。     

2006-2007年中国股票实际收益率与通货膨胀的实证研究

股票的实际收益率与通货膨胀率之间的关系决定着人们的投资决策。2006--2007年出现了商品价格与股票价格同时大幅度上涨的现象,文章利用2005--2007年的数据对股票的实际收益率与通货膨胀率进行了线性回归,得出在2006--2007年问中国股票实际收益率与通货膨胀之间具有正相关性的结论。     

实际股票资产收益率与通货膨胀率的关系研究

本文分析了股票实际收益率和价格变化之间的反向关系。不论是事前（预期）还是事后（实际）的通胀率和资产实际收益率都存在反向关系，这种反向关系是投资者理性行为的结果。这表明股票并不是对冲通胀风险的理想工具，费雪效应不成立。本文通过使用中国的实际宏观数据实证分析上述模型的理论结果，实证结果符合模型预测。     

中国经济费雪效应的实证研究:1987-2007——基于多个国家和地区的面板数据分析

文章利用1987-2007年中国和日本等10个国家的通货膨胀率和利率数据,分别使用相应的检验方法对这些数据进行面板单位根和面板协整检验,得出中国存在部分费雪效应的结论.然后使用FMOLS和DOLS分别时中国费雪方程进行估计,进一步证实:中国在样本期内不存在完全费雪效应,而只有部分费雪效应,且费雪效应大小大约在0.5-0.7之间.     

中国股票市场和债券市场收益率动态相关性分析

基于A股综合市场收益率和中信全债指数收益率数据来研究中国股票市场和债券市场收益率的动态相关性,并分析时变的股债相关性影响因素,以及在横截面上对股票收益率的定价影响进行考察后得知:股债相关性是时变的,股票市场的不确定性和预期通货膨胀率是影响股债相关性的主要因素;通过虚拟变量回归发现,股债相关性在横截面上对股票收益率的影响很小。这些结论对于投资者来说具有直接的现实意义。     

股票收益率时间序列模型分析

文章在规范统计与计量检验基础上,建立上证综指收益率的相关的GARCH族模型。分析结果表明:EARCH模型对上海股市股票收益率具有较好的拟合效果,而上海股市收益率存在显著的杠杆效应。     

基于小波分析的中美大豆期货价格周期波动关联性研究

本文运用小波分析法对大连商品期货交易所(DCE)和芝加哥商品交易所(CBOT)大豆期货价格序列以及收益率序列进行分解与重构,分析了两个市场的波动周期,并结合VAR和多元GARCH-BEKK模型,从价格溢出和波动溢出两个角度研究了不同尺度下国内外期货价格之间的动态关系,结果表明:国内外大豆各细节层期货价格收益率之间存在显著的价格溢出与波动溢出效应,且主要是CBOT向DCE的价格溢出与波动溢出传导.     

A股市场FF模型适用性的实证性研究

对三因素模型在我国证券市场的适用性问题,即股票期收益率与市场溢价因素、公司规模因素和账面市值比因素的关系问题进行了实证研究。根据我们分析的样本,得出以下结论：总体而言,三因素模型在我国股票市场是适用的,可以作为一个方便实用的工具来帮助投资者对中国股票市场进行分析和预测;中国股票市场具有规模效应和账面市场价值比效应,价值型股票的收益率高于成长型股票的收益率。     

Stock prices, inflation and output: Evidence from wavelet analysis

The negative relationship between real stock return and inflation puzzled many as it contradicts conventional Fisherian wisdom. Fama [Fama, E.F. (1981), “Stock returns, real activity, inflation and money”, American Economic Review, 71(September), 545–564.] gave an explanation for this negative relationship with two propositions that links real stock return and inflation through real output. This study revisits Fama's hypothesis for India in the post-liberalized period from a developing country perspective. Examining this relationship on the time-scale decomposition from a wavelet multi-resolution analysis suggests that Fama's hypothesis holds only for the long time scale and remains as a puzzle for the other time scales.     

Stock Returns and Inflation

In this paper the relationship between inflation and stock returns in Australia is examined. It is found that increases in the price level reduce the real level of the stock price index. However, it is also found that the question of whether persistent increases in inflation affect real returns cannot be addressed using the Australian data.     

Revisiting the Link Between Stock Prices and Goods Prices in OECD Countries

Fisher hypothesis postulates positive relation between stock return and inflation; however early studies document negative relationship between the two and they conclude that stock cannot be used as a hedge against inflation. In this paper we explore long‐run nonlinear relationship between stock price and goods price. Our sample consists of 19 OECD countries; all or some of these countries have been studied before with the findings of linear cointegration between the stock index and goods price index. Based on unit root tests and linear cointegration test, we apply threshold cointegration tests, Autoregressive Distributed Lag (ARDL) cointegration test and panel VAR method. With all these econometric methods we arrive at heterogeneous findings as follows: two countries have linear cointegration, five countries have threshold cointegration, nine countries do not have any cointegration and finally two countries provide inconclusive results. Estimates of Fisher coefficient provided by linear and nonlinear cointegration methods, which range between 1.27 and 1.86, are consistent with previous studies. Impulse response analysis from panel VAR for countries having no cointegrating relation shows that shock to inflation produces negative response in stock return, which supports findings of earlier studies.     

Inflation and Stock Market Returns:Some Australian Evidence*

This paper analyzes the relationship between Australian stock returns and inflation over the period 1965-79. The effects of inflation in a ‘rational investor’ valuation framework are discussed. Empirical tests suggest that nominal stock returns and inflation are related in a significantly negative fashion, implying that stocks have been extremely poor inflationary hedges for the investor over the period. In addition, Granger-Sims tests of causality indicate a mainly unidirectional relationship between inflation and stock returns, with price level charges leading the equity index in time.     

Stock prices,inflation and inflation uncertainty in the U.S.: testing the long-run relationship considering Dow Jones sector indexes

We test for the long-run relationship between stock prices, inflation and its uncertainty for different U.S. sector stock indexes, over the period 2002M7–2015M10. For this purpose we use a cointegration analysis with one structural break to capture the crisis effect, and we assess the inflation uncertainty based on a time-varying unobserved component model. In line with recent empirical studies we discover that in the long run, the inflation and its uncertainty negatively impact the stock prices, opposed to the well-known Fisher effect. In addition we show that for several sector stock indexes the negative effect of inflation and its uncertainty vanishes after the crisis outburst. However, in the short run the results provide evidence in favour of a negative impact of uncertainty, while the inflation has no significant influence on stock prices, except for the consumption indexes. The consideration of business cycle effects confirms our findings, which proves that the results are robust, both for long- and short-run relationships.     

ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia

This paper conducts an empirical investigation into the long run relationship between real stock returns and inflation in Australia by employing the ARDL bounds tests. There exists a stock return–inflation long run relationship, and the long run parameters are non-linear functions of those of the conditional error correction model. The OLS estimates of the latter model constitute the long run parameter estimates and their standard errors are estimated by delta methods. The long run model estimates so constructed can be biassed and inconsistent, and the delta method is derived assuming asymptotic normality, which does not hold in this investigation. In this paper, to overcome these limitations of the traditional methods, we employ the bias-corrected bootstrap method. As a consequence, the robust and reliable statistical inference can be made on the long run return–inflation relationship. The empirical results show that the expected inflation had no significant effect on real stock returns, while the observed inflation had a significant and negative effect. Furthermore, the data generating process of the returns–inflation relationship was not affected by the change in monetary policy regime in the early 1990s. These findings imply that Australian stocks have been very effective instruments for hedging against expected inflation. Because of the resilience of Australian economy to the current global financial and economic crisis, this finding has implications for long term domestic and foreign investors in Australia.     

Stock return predictability: the role of inflation and threshold dynamics

This paper argues that the nature of stock return predictability varies with the level of inflation. We contend that the nature of relations between economic variables and returns differs according to the level of inflation, due to different economic risk implications. An increase in low level inflation may signal improving economic conditions and lower expected returns, while the opposite is true with an equal rise in high level inflation. Linear estimation provides contradictory coefficient values, which we argue arises from mixing coefficient values across regimes. We test for and estimate threshold models with inflation and the term structure as the threshold variable. These models reveal a change in either the sign or magnitude of the parameter values across the regimes such that the relation between stock returns and economic variables is not constant. Measures of in-sample fit and a forecast exercise support the threshold models. They produce a higher adjusted R², lower MAE and RMSE and higher trading related measures. These results help explain the lack of consistent empirical evidence in favour of stock return predictability and should be of interest to those engaged in stock market modelling as well as trading and portfolio management.     

Monopsony and discriminating monopsony in the nursing market

Theory suggests that equities are a good hedge against inflation. However, most of the empirical evidence for industrialized economies suggests that the relationship between stock returns and inflation is negative. One explanation is the negative correlation between inflation and real output growth. This paper examines the relationship between inflation and stock returns for ten important Emerging Stock Market (ESM) markets, namely, Chile, Mexico, Brazil, Argentina, Thailand, S. Korea, Malaysia, Hong Kong, Philippines and Turkey, during the 1990s. To anticipate the results, the relationship between stock returns and inflation, for the whole sample period, is positive and statistically significant for three of the sample ESMs, while it is positive (but statistically insignificant) for a further three. Only for one ESM is the relationship negative and statistically significant. This result may be due to the role of money and the positive relationship between consumer prices and output.     

Stock prices and inflation hedged firms

As the Federal Reserve continues its near-zero rate policy, the threat of inflation remains a concern among both policymakers and businesses. This article uses over 30 years of accounting data and stock returns to examine how publicly traded firms respond to increasing inflation expectations. We first examine whether firms make balance sheet adjustments in response to expected inflation. We then examine whether these activities have a positive effect on stock prices. We find that firms increase inventory, increase capital expenditures and reduce long-term debt when there is an increased expectation of inflation. We then find that firms that increase inventory in this economic regime are rewarded in the market. Markets also reward firms that increase their cash positions and reduce long-term debt possibly suggesting investor flight to safety.