| 我国通胀对股票市场条件波动影响研究 |
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| 引用本文： | 刘仁和,陈亮,程昆. 我国通胀对股票市场条件波动影响研究[J]. 经济问题, 2009, 0(3) |
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| 作者姓名： | 刘仁和 陈亮 程昆 |
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| 作者单位： | 华南农业大学经济管理学院,广州,510642;华南农业大学经济管理学院,广州,510642;华南农业大学经济管理学院,广州,510642 |
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| 基金项目： | 国家自然科学基金项目(70672024);;教育部人文社科基金项目(06JA790038);;广东省社科基金项目(06E10);;华南农业大学国家重点学科建设项目 |
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| 摘 要： | 将通胀引入标准GARCH模型,分别研究我国通胀率、通胀率变化和移动平均通胀率对股市条件波动的影响。实证结果表明通胀对我国股票市场条件波动几乎不存在影响,从而否定了通胀会使投资者预期经济变坏,更加厌恶风险,以致引起资产价格剧烈波动的假说。
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| 关 键 词： | 通胀 股票市场 条件波动 GARCH模型 |
The Impact of Inflation on China`s Stock Market Conditional Volatility |
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| LIU Ren-he,CHEN Liang,CHENG Kun. The Impact of Inflation on China`s Stock Market Conditional Volatility[J]. On Economic Problems, 2009, 0(3) |
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| Authors: | LIU Ren-he CHEN Liang CHENG Kun |
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| Affiliation: | School of Economics & Management;South China Agriculture University;Guangzhou 510642;China |
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| Abstract: | we use GARCH models to test the impact of inflation,the change in rate of inflation and move average inflation on the stock market conditional volatility in China.The empirical result shows that inflation has nearly no effect on China's stock market conditional volatility,so we reject to the hypothesis that inflation making investors expect economy bad and become to more risk-averse,finally,leading to the asset prices severe ups and downs. |
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| Keywords: | inflation stock market conditional volatility GARCH models |
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