我国通胀对股票市场条件波动影响研究

The Impact of Inflation on China`s Stock Market Conditional Volatility

将通胀引入标准GARCH模型,分别研究我国通胀率、通胀率变化和移动平均通胀率对股市条件波动的影响。实证结果表明通胀对我国股票市场条件波动几乎不存在影响,从而否定了通胀会使投资者预期经济变坏,更加厌恶风险,以致引起资产价格剧烈波动的假说。

we use GARCH models to test the impact of inflation, the change in rate of inflation and move average inflation on the stock market conditional volatility in China. The empirical result shows that inflation has nearly no effect on China＇s stock market conditional volatility, so we reject to the hypothesis that inflation making investors expect economy bad and become to more risk - averse, finally , leading to the asset prices severe ups and downs.