实际股票收益率与通货膨胀率关系的实证研究

股票收益率与通货膨胀率之间的关系至今仍无定论.采用1991年1月到2011年8月的月度数据,运用VAR模型对我国的股票收益率与通货膨胀率之间的关系进行实证分析,结果发现不论是预期的通货膨胀还是非预期的通货膨胀与股票实际收益率都是负相关关系.表明费雪效应在我国不成立,股票并不是对冲通货膨胀风险的理想工具.     

储蓄存款变动率与股票收益率关系的实证分析

本文对2003年2月至2010年7月的各种银行存款变动率与股票收益率之间的关系进行了计量经济分析,发现:1.居民定期存款变动率与股票收益率呈负相关关系.2.2003年2月至2007年6月股票收益率与企事业活期存款变动率呈负相关,而2007年7月至2010年7月,却呈正相关关系,并且格兰杰因果关系在1%水平上显著,说明前者对后者存在单向的影响关系.这一结果在一定程度上可以解释股票全流通后大小非出货套现的行为.     

劳动杠杆的定价效力:来自中国A股市场的证据

本文选取中国沪深A股2002年至2018年的季度数据,从公司层面考察了劳动杠杆(由劳动力成本粘性特征导致的企业利润变化率大于产出变化率的经济现象,可理解为不考虑固定成本时经营杠杆的特殊表现形式)对股票截面收益率的定价效力。结果发现:(1)劳动杠杆对截面收益率具有显著负向影响,具体表现为高劳动杠杆公司的收益率低于低劳动杠杆公司的收益率;(2)该影响在控制了公司特征后依然显著存在;(3)该影响在不同经济周期下表现不同:在经济下行期,负向定价效力更为明显。进一步地,本文通过生产率冲击和工资冲击这两个风险来源探究了劳动杠杆的作用机制。结果表明,劳动杠杆一方面通过生产率冲击产生显著正向影响,另一方面通过工资冲击产生显著负向影响。但后者的影响程度显著强于前者,两者的相对重要性取决于上市公司的技术水平。相关结果能够为公司应对劳动力成本上升、理解劳动杠杆的定价机制及相关投资策略的制定和风险管理等提供经验支持。     

中国费雪效应悖论的实证分析

费雪效应认为股票实际收益率同通货膨胀率呈正相关关系,而本文采用1996年1月到2009年10月的月度数据,对中国证券市场股票收益率与通货膨胀之间的关系进行实证研究的计量分析表明,在中国股票市场上,股票实际收益率与通货膨胀率没有一定的线性关系,因此产生费雪效应悖论,进而分析造成我国股市费雪效应悖论的原因并提出相关建议。     

中国印尼金融合作问题研究

首先对中国与印尼的双边贸易与投资进行分析。其次对实际GDP增长率与通货膨胀率进行皮尔逊相关检验以及VAR模型分解得到需求与供给的冲击对称性。最后提出关于中国印尼金融合作的思考。     

疫情冲击下组织冗余对股票收益率的影响研究

本文以2019年12月至2020年3月中国A股上市企业为样本,分析组织冗余对疫情冲击下股票收益率的影响.研究发现,疫情发生后上市公司的股票收益率普遍下降,而组织冗余作为调节变量,缓解了疫情对股票收益率的冲击;这一效应在非国有企业中尤为明显.并且,当组织冗余水平达到当年同行业的49％时,这一缓冲作用才得以显现.由此可见,企业内部适当的冗余资源对有效防范、应对突发性的灾难事件具有重要意义.     

疫情冲击下组织冗余对股票收益率的影响研究

本文以2019年12月至2020年3月中国A股上市企业为样本,分析组织冗余对疫情冲击下股票收益率的影响.研究发现,疫情发生后上市公司的股票收益率普遍下降,而组织冗余作为调节变量,缓解了疫情对股票收益率的冲击;这一效应在非国有企业中尤为明显.并且,当组织冗余水平达到当年同行业的49％时,这一缓冲作用才得以显现.由此可见,企业内部适当的冗余资源对有效防范、应对突发性的灾难事件具有重要意义.     

股票收益率与通胀关系的实证研究

本文基于费雪理论,使用1991-2010年的月度数据对中国股市的收益率与通货膨胀率之间的关系进行实证分析,并进一步检验各行业股票对通胀风险的防御效果。研究结果表明,总体上股票收益率与通胀率显著负相关,即股票不是持续高通胀时期的有效保值工具,但是在材料、医药和消费等行业仍具有较好的通胀防御效果。     

意外险的需求模式、感觉阈限与通货膨胀率——基于三区制门限回归模型的实证分析

基于中国意外险市场2000年~2010年季度数据的实证分析表明,通货膨胀率不仅能够明显地影响意外险需求,而且意外险保费收入增长率与通货膨胀率之间不是简单的线性负相关。意外险需求对通货膨胀率的敏感程度是"边际递减"的。与通货膨胀风险相比较,投保人更加厌恶通货紧缩风险。另外,由于需求模式在门限值附近出现较大改变而有可能冲击意外险市场,所以当通货膨胀率接近门限值时保险公司应该及时地调整营销策略。     

从供给和需求两方面发展我国股票市场

《财贸经济》1992年第2期发表文章,题为《从供给和需求两方面发展我国股票市场》。文章认为,我国股市狂涨暴落的根源在于股票供求总体严重失衡,因而提出要发展股票市场,平衡股市,必须从供给和需求入手。从供给方面看,壮大股票市场就是要增加股票的上市数量。一是对已经上市交易的股票增加上市数量,在目前就是要想办法允许公股上市。二是对已经发行的股票但至今尚未上市的股票要创造条件为其提供交易市场。三是增发新的股票。从股票需求看,壮大股票市场就是要增强认     

Asset Returns and Inflation in Response to Supply,Monetary, and Fiscal Disturbances

This paper identifies sources of asset returns (stock returns and interest rates) and inflation relations. We find that the relation between asset returns and inflation is driven by three types of disturbances to the economy. We interpret them as due to supply disturbances and two types of demand—monetary and fiscal—disturbances. In post-war U.S. data, supply and fiscal disturbances drive a negative stock return-inflation relation, whereas monetary disturbances generate a positive stock return-inflation relation. However, all three types of disturbances generate a negative interest rate-inflation relation. Depending on the interaction of the three types of shocks, we observe different correlations between asset returns and inflation in post- and pre-World War II U.S. data.     

Stock returns,velocity dynamics and inflation volatility

ABSTRACT

Our model relates the variability of stock returns to the variability of consumption velocity and shows that real stock returns tend to co-vary negatively with expected inflation in a period (or regime) of low and stable inflation and to co-vary positively with expected inflation in a period (or regime) of high and volatile inflation. Long-run real stock returns are shown to be positively related to expected inflation. Our empirical results for 20 countries provide consistent support for our propositions, indicating that the standard deviation of the annual inflation rate roughly equal to 10% is the dividing line between negative and positive return-inflation relations.     

Common stock returns,real activity,money, and inflation: Some international evidence

This paper tests whether the negative relationship between real stock returns and inflation in the United States is in fact proxying for a positive relationship between stock returns and real activity variables in six major industrial countries over 1966–1979. Consistent with Fama's ‘proxy-effect’ hypothesis, we document a negative relationship between inflation and real activity and a positive one between real stock returns and real activity variables. Real activity variables dominate money growth rates and expected and unexpected inflation in explaining real stock returns. A puzzling result that still remains is the positive role of money and the negative role of expected inflation in explaining these real stock returns in all major industrial countries.     

Are common stocks a good hedge against inflation? Evidence from the Pacific-rim countries

We explore whether the observed real stock return–inflation relations in the U.S. and 10 Pacific-rim countries for the sample period of 1970–1997 can be explained by the interaction between real and monetary disturbances. Ten countries exhibit a negative relation between real stock returns and inflation. Malaysia is the only country that exhibits a positive relation. For nine countries, real output disturbances drive a negative stock return–inflation relation, while monetary disturbances yield a positive relation. In addition, real shock components appear to be relatively more important than monetary shock components for these countries, and as a result the observed relation between stock returns and inflation is negative. Neither the tax hypothesis nor the monetary regime hypothesis seems to be easily compatible with the diverse experiences of the Pacific-rim countries.     

The relationship between stock returns and inflation: new evidence from wavelet analysis

This paper presents a new perspective on the Fisher hypothesis, which states a positive relationship between nominal stock returns and inflation. The new approach is based on a wavelet multiscaling method that decomposes a given time series on a scale-by-scale basis. Empirical results show that there is a positive relationship between stock returns and inflation at the shortest scale (1-month period) and at the longest scale (128-month period), while a negative relationship is shown at the intermediate scales. This indicates that the nominal return results are supportive of the Fisher hypothesis for risky assets in d1 and s7 of the wavelet domain, while the stock returns do not play a role as an inflation hedge at the intermediate scales. The key empirical results show that time-scale decomposition provides a valuable means of testing the Fisher hypothesis, since a number of stock returns and inflation puzzles previously noted in the literature are resolved and explained by the wavelet analysis.     

THE RELATIONSHIP BETWEEN THE VARIABILITY OF INFLATION AND STOCK RETURNS: AN EMPIRICAL INVESTIGATION

Several researchers find a negative correlation between the rate of inflation and stock returns. This phenomenon may be explained by the variability hypothesis, which posits that the negative correlation is caused by the combination of a positive relation between the rate of inflation and the variability of inflation and a negative relation between the variability of inflation and stock returns. An autoregressive conditional heteroscedastic model of inflation is used to measure the variability of inflation. Empirical results do not support the ability of the variability hypothesis to explain the negative correlation between stock returns and inflation.     

STOCK MARKET REACTION TO GOOD AND BAD INFLATION NEWS

This article shows that differentiating between good and bad inflation news is important to understanding how inflation affects stock market returns. Summing positive and negative inflation shocks as in previous studies tends to wash out or mute the effects of inflation news on stock returns. More specifically, we find that, depending on the economic state, positive and negative inflation shocks can produce a variety of stock market reactions. We conclude that the effect of inflation on stock returns is conditional on whether investors perceive inflation shocks as good or bad news in different economic states.     

Relative Price Variability,Real Shocks,and the Stock Market

In this paper, we investigate the effects of relative price variability on output and the stock market and gauge the extent to which inflation proxies for relative price variability in stock return-inflation regressions. The evidence shows that the negative stock return-inflation relations proxy for the adverse effects of relative price variability on economic activity, particularly during the seventies, when the U.S. experienced oil supply shocks. Hence, it appears that inflation spuriously affects the stock market in two ways: the aggregate output link of Fama (1981) and the supply shocks reflected in relative price variability.     

Stock Prices and Inflation: New Evidence from the Pacific-Basin Countries

This paper investigates the statistical relationship between stock prices and inflation in nine countries in the Pacific-Basin. On balance, regression analysis on the nine markets shows negative relationships between stock returns in real terms and inflation in the short run, while co-integration tests on the same markets display a positive relationship between the same variables over the long run. The time path of the response of stock prices plotted against corresponding changes in consumer price indices validates this dichotomy in time-related response patterns of stock prices to inflation; namely, a blip of negative responses at the beginning changes to a positive response over a longer period of time. Stock prices in Asia, like those in the U.S. and Europe, appear to reflect a time-varying memory associated with inflation shocks that make stock portfolios a reasonably good hedge against inflation in the long run.     

Stock returns,inflation and interest rates in the United Kingdom

The Fisherian theory of interest asserts that a fully perceived change in inflation would be reflected in nominal interest rates and stock returns in the same direction in the long run. This paper examines the Fisherian hypothesis of asset returns using alternative techniques of linear regression, and vector error correction models to examine the nature of the relationship between stock returns and inflation in the UK. Consistent with the Fisherian hypothesis, empirical evidence in the linear regression model suggests a positive and statistically significant relationship between stock returns and inflation, which regards common stock as a good hedge against inflation. The results based on the unit root and cointegration tests indicate a long-run reliable relationship between price levels, share prices, and interest rates which could be interpreted as the long-run determinants of stock returns. The findings also suggest a bidirectional relationship between stock returns and inflation. The evidence of a significant Fisher effect is robust across model specifications.