中国股票收益与实际经济、通货膨胀关系的实证分析

The Case Analysis of the Relations between Stock Returns, Real Economic Activity and Inflation

研究1995年1月至2002年1月中国实际股票收益率、通货膨胀和实际经济活动的相关关系结果表明:长期中实际股票收益率与通货膨胀呈明显负相关关系,通货膨胀与实际经济活动呈反向关系,实际股票收益与实际经济活动呈正相关关系,但短期中实际股票收益率与通货膨胀和实际经济的关系不显著,通货膨胀与实际经济呈明显负相关关系。因此,虽然中国股市短期与国民经济的发展状况不同步,但是从中长期看,它较合理地反映了1995年～2002年1月期间的国民经济总体情况,中国股市与宏观经济并没有发生背离。

The paper studies the correlation between the stock returns, inflation and real economic activity from January 1995 to January 2002 in China. The result shows: in a long term, there was a significant negative correlation between real stock returns and inflation; there was reverse relation between inflation and real economic activity; and there was positive correlation between real stock returns and real economic activity. However, the result also shows: in a short term, there was not clear correlation between real stock returns, inflation and real economic activity. Therefore, although the Chinese stock market did not synchronized with the development of the national economy in the short term, the Chinese stock market objectively reflected the national economic situation from January 1995 to January 2002. That is to say, Chinese stock market did not deviate from the macroeconomy.