构建通货膨胀保护功能的投资组合策略研究

Empirical Study of Inflation Hedging Characteristics of Commodity Futures and Stock Returns

本文通过分析行业股票和商品期货的通货膨胀保护能力,提出构造具有通货膨胀保护功能的资产组合的具体方法。同时,本文还给出了在不同经济时期,资产的抗通胀性质可能发生的变化。研究表明,商品期货能够有效地规避通货膨胀风险,股票只有在特定的经济周期区间对预期通货膨胀有保护能力,但无法对冲未预期通货膨胀。且通过筛选后的抗通胀资产构建的投资组合能够较好地跟踪通货膨胀率的变化。

By studying inflation-hedging characteristics of 12 stock industries and commodity futures,strategies are proposed in this paper to construct inflation hedging portfolios.What's more,the possible changes of the inflation hedging characteristics in different periods of the economic cycle are given.The empirical study result shows,commodity futures can hedge inflation risks and should be included in the inflation hedging portfolios.Stocks cannot hedge unexpected inflation,but it can hedge expected inflation under certain time frames.