股票收益与通货膨胀:中国恶性通胀时期的实证研究

Stock Return and Inflation:A Short-horizon Perspective in the Chinese Hyperinflation

本文考察第二次世界大战之后中国恶性通货膨胀时期股票收益与通货膨胀的短期关系。恶性通货膨胀可近似看作是纯粹的货币现象,使用恶性通货膨胀时期的数据,研究者可以尽量避开实际经济变量对股票收益的影响。经验证据表明,股票收益与事后实现的通货膨胀和事前预期的通货膨胀本质上都是正相关的。股票能够几乎完全对冲预期通货膨胀风险,也能部分程度上对冲未预期通货膨胀风险。中国恶性通货膨胀时期的经历支持了费雪效应假说,这一时期股票是一种不错的保值品种。该结论有助于重新认识"股票收益—通货膨胀之谜"。

We examine the short-term relationship between stock returns and inflation during the Chinese hyperinflation after World War II.Stocks appear to be a complete hedge against expected inflation,and even a partial hedge against unexpected inflation.In contrast to the stock return-inflation puzzle,we find that Fisher hypothesis is applicable to common stocks even in short-horizon during the episode of Chinese hyperinflation.