对中国股票市场费雪效应及相关“波动性假说”的检验

本文利用我国1991年1月到2007年12月的月度数据对我国股票市场实际通货膨胀与股票收益的关系进行了实证分析,结果发现:与费雪效应相反,我国通货膨胀率与股票收益呈负相关关系,而且在对解释这种负相关关系的波动性假说(the Variability Hypothesis)的检验中,发现该假说能够解释我国股市股票收益与通货膨胀之间所呈现的这种负相关关系。

The "Fisher Effect" and "Variability Hypothesis" Test in Chinese Stock Market

With the help of empirical studies, this paper analyzes monthly data of Chinese stock market from Jan., 1991 to Dec., 2007, and argues that contrary to the Fisher's effect, there is a negative relationship between inflation rate and real share return in Chinese stock market. Moreover,the paper also points out that the Variability Hy- pothesis could be used to explain the negative relationship between inflation rate and real share return.