通货膨胀与股票收益关系的实证分析——对中国股票市场的费雪效应检验

Inflation and shares income relation's demonstrative analysis——Fisher effect expectation text of China stock market

本文利用2001～2011年沪市和深市股票收益率与CPI的月度数据,对两者之间的关系进行了实证分析,结果表明:无论是实际股票收益率还是名义股票收益率与CPI之间都是正相关关系。从而说明,通货膨胀对实际经济增长有刺激作用,股票是抵御通货膨胀的良好投资品。

The paper makes use of the monthly data of stock market and CPI from 2001 to 2011 to analyze the relationship between them empirically.The result is that both real and nominal stock return has positive relationship with CPI,which illustrates that inflation can stimulate the real economic growth and stock is a good way to against the inflation.