| 股票收益率与通胀关系的实证研究 |
| |
| 引用本文： | 钟伟,张巍. 股票收益率与通胀关系的实证研究[J]. 南方金融, 2011, 0(5) |
| |
| 作者姓名： | 钟伟 张巍 |
| |
| 作者单位： | 1. 北京师范大学金融研究中心,北京,100875
2. 北京师范大学经济与工商管理学院,北京,100875 |
| |
| 摘 要： | 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。
|
| 关 键 词： | 股票收益率 通货膨胀率 防御性行业 |
Security Return and Inflation:An Empirical Study of China |
| |
| Zhong Wei,Zhang Wei. Security Return and Inflation:An Empirical Study of China[J]. South China Finance, 2011, 0(5) |
| |
| Authors: | Zhong Wei Zhang Wei |
| |
| Affiliation: | Zhong Wei1 and Zhang Wei2(1.Institute of Financial Research,Beijing Normal University,Beijing,100875 China,2.School of Economics and Management,100875 China) |
| |
| Abstract: | This paper reviews the security return and inflation based on the Fisher's Hypothesis,and puts forwards an empirical study on the China's A-share market.It concludes that inflation and stock returns are negatively related,which implies the stock market in China isn't an inflation-shelter alternation,while some industries such as row materials,medical,pharmaceutical and health care,consumption can act as anti-inflation industries. |
| |
| Keywords: | Security Return Inflation Anti-inflation Industry |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
