资本市场收益与通货膨胀:对新兴市场的进一步检验

本文对中国、印尼、马来西亚、菲律宾、韩国和泰国六个新兴市场国家的股票回报率和通货膨胀率之间的关系进行了实证研究。结果表明,在中国和菲律宾,名义股票回报率和通胀率之间存在正相关关系,但在其它四个国家,并未发现同样的关系存在。这表明股票作为通货膨胀的对冲工具,可能仅在个别国家里成立。此外,本文还对真实回报率和通胀率之间的关系进行了检验,结果普遍表明当期通胀率和单期滞后通胀率对真实股票回报率有负的影响。

Capital Market Returns and Inflation:A Further Investigation in Emerging Markets

This paper empirically investigates the relationship between stock returns and inflation rate in six emerging market countries including China,Indonesia,Malaysia,Philippine,South Korea and Thailand.The positive one-to-one relationship between nominal stock returns and inflation rate is observed in China and Philippine but not in the rest of them.This indicates that the phenomenon of stock as a good hedge tool only exists in some countries.The investigation of the relationship between real rate of stock retu...