我国A股市场股票收益率与通货膨胀率的相关性研究

发布时间：2018-03-14 00:05

本文选题：通货膨胀率　切入点：股票实际收益率　出处：《哈尔滨商业大学》2013年硕士论文　论文类型：学位论文

【摘要】：中国股票市场自成立以来,吸引了越来越多的投资者进入股票市场并选择股票投资作为自己的投资理财方式。然而,当今世界各国尤以美国为首滥发货币导致全球流动性过剩现象十分严重,通货膨胀成为世界经济常态,尤其对于通货膨胀形势不断变化的中国经济而言,投资股票能否抵御通货膨胀风险并起到保值增值的作用,股票实际收益率和通货膨胀率到底存在怎样的关系,引起了投资者的普遍关心,也是学者们关注研究的热点问题。本文在查找并阅读大量国内外文献的基础上,了解西方经济学家关于股票收益率和通货膨胀率两者关系的相关理论,对我国上证A股股票实际收益率、通货膨胀率、货币供给增长率、工业增加值增长率从1996年1月到2012年3月的月度数据进行处理,分为股权分置改革之前(1996.01-2005.04)和股权分置改革之后(2005.05-2012.03)两个时间段,分别应用时间序列计量经济模型进行实证研究,得出了我国上证A股股票实际收益率和通货膨胀率负相关的结论,并运用西方经济学家相关理论和投资理论中的分离定理、资本市场线、资本资产定价模型(CAPM)等相关知识进行了规范分析,最后还提出了相关对策建议。本文内容分为五大部分。第一章是绪论,主要介绍文章的研究意义、研究内容与方法和国内外研究现状。第二章在引入核心概念的基础上,又分别介绍了西方经济学家关于股票收益率和通货膨胀率关系的相关理论,包括Fisher假说、代理假说、波动性假说、风险溢价假说、货币幻觉假说、反向因果关系假说。第三章介绍了我国近二十年来股票市场状况和股票市场作用于实体经济的途径,还介绍了我国近二十年来通货膨胀形势以及通货膨胀对国民经济和股票市场的影响。第四章是全文的核心部分,本章分别对股权分置改革前后两个时间区间的数据在单位根检验的基础上进行Johansen协整检验,得出变量间的协整关系,接着又进行格兰杰因果检验并建立向量自回归(VAR)模型,然后又进行脉冲响应分析和方差分解,最后还建立了向量误差修正(VEC)模型。在实证研究的基础上,利用第二章西方学者相关理论对上证A股股票实际收益率和通货膨胀率的负相关关系进行了简单的规范分析,还从投资学相关理论—分离定理、资本市场线和资本资产定价模型(CAPM)的全新角度进行了深入的规范分析,合理地论证了实证研究的结论。第五章在前文研究的基础上提出了相关对策建议。
[Abstract]:Since the establishment of the Chinese stock market, more and more investors have been attracted to enter the stock market and choose stock investment as their own investment financing method. In today's world, the United States-led currency abuse has led to a very serious phenomenon of excess global liquidity, and inflation has become the norm in the world economy, especially for the Chinese economy, where the inflation situation is constantly changing. Whether the investment stock can resist the inflation risk and play a role in maintaining and increasing the value of the value, the relationship between the real return rate of stock and the inflation rate has aroused the widespread concern of investors, and is also a hot issue that scholars pay attention to. On the basis of looking up and reading a large number of domestic and foreign literatures, this paper understands the relevant theories of western economists on the relationship between stock yield and inflation rate, and gives an analysis of the real rate of return and inflation rate of A shares in Shanghai Stock Exchange of China. The monthly data of the growth rate of money supply and industrial value added from January 1996 to March 2012 are divided into two periods: before the split share structure reform (1996.01-2005.04) and after the equity split structure reform (2005.05-2012.03). By using time series econometrics model, this paper draws a conclusion that the real return rate of A shares in Shanghai Stock Exchange is negatively correlated with inflation rate, and applies the separation theorem of western economists' theory and investment theory. The related knowledge of capital market line, capital asset pricing model and so on are analyzed, and the relevant countermeasures and suggestions are put forward. This paper is divided into five parts. The first chapter is the introduction, mainly introduces the significance of the article, research content and methods and domestic and foreign research status. It also introduces the relevant theories of western economists on the relationship between stock returns and inflation, including Fisher hypothesis, proxy hypothesis, volatility hypothesis, risk premium hypothesis, monetary illusion hypothesis. The reverse causality hypothesis. Chapter three introduces the stock market situation in China in the past 20 years and the ways in which the stock market acts on the real economy. It also introduces the inflation situation and the impact of inflation on the national economy and the stock market in China in the past two decades. Chapter 4th is the core part of the paper. In this chapter, Johansen cointegration test is carried out on the basis of unit root test for the data of two time intervals before and after the split share structure reform, and then Granger causality test is carried out and vector autoregressive (VAR) model is established. Then impulse response analysis and variance decomposition are carried out. Finally, vector error correction (VEC) model is established. In the second chapter, the author makes a simple normative analysis of the negative correlation between the real return rate and inflation rate of A shares in Shanghai Stock Exchange by using the relevant theories of western scholars, and analyzes the separation theorem from the relevant theory of investment science. The capital market line and the capital asset pricing model (CAPM) are analyzed from a new perspective, and the conclusions of the empirical study are reasonably demonstrated. Chapter 5th puts forward the relevant countermeasures and suggestions on the basis of the previous research.
【学位授予单位】：哈尔滨商业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F822.5

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