我国通货膨胀率对股票收益率影响研究

发布时间：2018-05-09 07:54

本文选题：通货膨胀率 + 行业股票收益率　；参考：《宁波大学》2014年硕士论文

【摘要】：在股票市场日趋发展下，，股票作为一种投资品得到广大市民的认可。投资者逐渐从单纯的看重股票价值过渡到对实体经济中通货膨胀的关注。股票是否对通货膨胀具有保值作用；通货膨胀对股票收益率的短期和中期影响是否相同；不同行业股票收益率受预期和非预期通货膨胀的影响又是如何等问题成为关注的焦点。因此，研究通货膨胀对股票收益率的影响具有一定的经济意义和实践价值。本文探讨了我国通货膨胀率对上证指数及十个不同行业股票收益率的影响。分别进行了短期和中期分析，检验了通货膨胀对股票收益的公告效应和消息不对称效应。此外，还探索了不同通胀类型下通货膨胀对股票收益的影响情况。通过建立预期通货膨胀率，非预期通货膨胀率和股票收益率这三个变量的VAR模型，分析了预期通货膨胀率，非预期通货膨胀率对不同行业股票收益率动态影响情况，进一步理解股票市场中的行业分化现象。实证结果显示，在通货膨胀率公告日分析中，预期通胀率对股票收益率的影响很小，而非预期通货膨胀率对股票收益率有一个显著负面影响；通货膨胀消息对股票收益率影响主要发生在公告日，少部分发生在公布之后的几天；对于公告的消息不存在任何非对称效应，投资者不会在意公布日的好消息与坏消息。在中期研究中，预期通胀率在不同的通货膨胀下对上证指数的影响不同：在高通货膨胀下影响不显著，但是在低通货膨胀下影响显著为正。非预期通货膨胀在高低通胀下都对上证指数产生负的显著影响。同时，非预期通货膨胀在低通货膨胀下对8个行业产生显著负效应。脉冲响应分析显示，在短期中，服务、地产、金融这三个行业股票收益可以弥补通货膨胀的影响，但从长期来看，中国的股票市场并不能达到资产保值的作用，但是也不排除每个行业中成长性较好的股票。
[Abstract]:With the development of the stock market, the stock as an investment product has been recognized by the general public. Investors have gradually shifted from simply focusing on stock value to focusing on inflation in the real economy. Whether the stock has the function of maintaining the value of inflation, whether the impact of inflation on the stock yield is the same in the short and medium term, and how the stock yield of different industries is affected by expected and unexpected inflation has become the focus of attention. Therefore, it has certain economic significance and practical value to study the effect of inflation on stock return. This paper discusses the effect of inflation rate on Shanghai Stock Exchange Index and stock returns in ten different industries. The short- and medium-term analyses are carried out to examine the effect of inflation on stock returns and the asymmetric effect of information. In addition, the paper explores the impact of inflation on stock returns under different inflation types. By establishing the VAR model of expected inflation rate, unexpected inflation rate and stock return rate, this paper analyzes the dynamic influence of expected inflation rate and unexpected inflation rate on stock yield in different industries. Further understand the industry differentiation in the stock market. The empirical results show that the expected inflation rate has little effect on the stock yield in the analysis of inflation rate on the day of announcement, while the non-expected inflation rate has a significant negative impact on the stock return rate. The impact of inflation news on stock returns mainly occurred on the announcement day, and a few occurred a few days after the announcement. There was no asymmetric effect on the announcement, and investors would not care about the good news or the bad news on the announcement day. In the mid-term study, the impact of expected inflation on the Shanghai index was different under different inflation conditions: the impact was not significant under high inflation, but significantly positive under low inflation. Unexpected inflation in both high and low inflation on the Shanghai Stock Exchange index has a negative significant impact. At the same time, unexpected inflation has a significant negative effect on 8 industries under low inflation. Impulse response analysis shows that in the short term, stock returns in services, real estate and finance can compensate for the impact of inflation, but in the long run, China's stock market will not be able to preserve assets. But also does not rule out each industry in the growth good stock.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F822.5;F832.51;F224

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