通货膨胀对不同行业股票收益率的影响研究

发布时间：2018-01-19 04:04

本文关键词： 行业股票收益率通货膨胀率向量自回归模型　出处：《上海师范大学》2012年硕士论文　论文类型：学位论文

【摘要】：有关通货膨胀的研究一直是经济学家和投资者都非常关心的问题，而如何较好地在通胀背景下做到合理投资，实现资产的保值增值更是许多金融经济学家研究这方面问题的出发点。本文的研究内容即是通过研究通货膨胀与股票市场各行业股票收益率的关系，重点考察在通胀影响下股市中各个行业的表现，以期从中找到较好的投资机会，并进一步揭示在我国股票市场上存在的行业分化的现象。本文首先对研究通货膨胀与股票市场收益率关系方面的文章作了综述，介绍了通货膨胀与股票收益率关系的几个基本理论。然后介绍了有关通货膨胀的概念，，以及通货膨胀对股票市场影响的途径分析，并分析了目前我国通货膨胀产生的主要原因。第三章，主要在不同行业上对我国股票收益率与通货膨胀率关系进行“费雪效应”实证检验，主要是通过建立实际股票收益率与通货膨胀率之间的回归方程。通货膨胀率选用PPI指数的同比变化率，通过分析可以知道“费雪效应”在我国股票市场不同行业上也是不成立的。第四章，主要是基于VAR模型的不同行业股票收益与通货膨胀的实证分析，并通过引入广义货币供给，产出增长率，建立股票收益率、通货膨胀率、产出增长率和货币供给增长率四个变量间的向量自回归模型，并对它们之间的关系进行实证分析。通过实证分析，可以知道，不同行业的股票收益率对于通货膨胀率、产出增长率和货币供给增长率的表现有着明显的不同。在股票市场上存在着明显的行业分化现象。第五章介绍的是实证分析结论，对本文的实证分析结论进行了总结并给出了简单的政策建议。
[Abstract]:The study of inflation has always been an issue of great concern to economists and investors, and how to make reasonable investment in the context of inflation. How to maintain and increase the value of assets is the starting point for many financial economists to study this problem. The research content of this paper is to study the relationship between inflation and stock returns in various sectors of the stock market. This paper focuses on the performance of various sectors in the stock market under the influence of inflation in order to find better investment opportunities and further reveal the phenomenon of industry differentiation in China's stock market. This paper first summarizes the relationship between inflation and stock market returns and introduces some basic theories of the relationship between inflation and stock returns. Then it introduces the concept of inflation and its influence on stock market, and analyzes the main causes of inflation in China. The third chapter, mainly in different industries on the relationship between China's stock returns and inflation rate of the "Fisher effect" empirical test. It is mainly by establishing the regression equation between the real stock return rate and the inflation rate. The inflation rate chooses the year-on-year change rate of the PPI index. Through the analysis, we can know that Fisher effect is also untenable in different industries of stock market in our country. Chapter 4th, mainly based on the VAR model of the empirical analysis of stock returns and inflation in different industries, and through the introduction of broad money supply, output growth rate, the establishment of stock returns, inflation rate. The vector autoregressive model between the four variables of output growth rate and money supply growth rate, and the empirical analysis of the relationship between them. Through the empirical analysis, we can know. Stock returns for different industries are for inflation. There are obvious differences between the growth rate of output and the growth rate of money supply. There is an obvious phenomenon of industry differentiation in the stock market. Chapter 5th introduces the conclusions of empirical analysis. This paper summarizes the conclusions of empirical analysis and gives some simple policy recommendations.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F822.5;F224;F832.6

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