上海A股市场股票实际收益率与通货膨胀率关系的实证研究

An Empirical Study on the Relationship between Real Stock Returns and Inflation in Shanghai A-Share Market

利用VAR模型对上海A股市场2000年1月至2008年12月的月度数据进行脉冲响应分析和方差分解。实证结果表明,上海A股市场股票实际收益率与通货膨胀率之间存在正相关关系。股票实际收益率对通货膨胀率的短期偏离能够在大约半年内得到修正,两者价格走势趋于一致,未来可以通过构建相关股票指数,发挥股票市场抵御通货膨胀的保值作用。

To discuss the relation between real stock returns and inflation, this paper gives a VAR model to analyze the monthly data during January 2000 to December 2008 in Shanghai A - share market which by means of impulse response function.and variance decomposition. The empirical results suggest that the relation between real stock returns and inflation in Shanghai A - share market is positive correlation. Real stock returns could be amended in approximately six months according to the short - term deviation of inflation and the price trend tends to be consistent. One inspiration obtained is that we could let stock market to play the role of hedge against inflation through the construction of the relevant stock index in the future.