解析我国股票市场代理假说效应

The Analysis of Proxy Hypothesis in Chinese Stock Market

我国股市的特征和运行状况决定了研究我国股票市场应结合宏观经济状况作具体分析。我国股票市场中,由于经济增长与通货膨胀之间的正相关关系及经济增长与股票收益之间的弱负相关,使得股票收益与通货膨胀呈负相关关系。这样,我国股票市场可能存在代理假说效应,只是构成效应解释两部分与Fama的解释正好相反。

The character of the stock markets in China determines that the investigation should be combined with a particular macroeconomic situation. Economic growth is positively related to inflation and negatively to stock returns,which causes negative relationship between stock returns and inflation. There is proxy hypothesis in the stock markets,but both the constitutents of this proxy hypothesis are just opposite to Fama's explanation.