股票收益率与通货膨胀关系的实证分析-国民经济学专业论文.docxVIP

II II Abstract As shown from the proverbs such as “if not faster than Liu Xiang, try to run faster than CPI”, “Salary rises as slowly as brows, whereas price goes up as fast as beards ”, nowadays inflation has become a public concern, even the economic terms like Consumer Price Index (CPI) have come to common people’s topic. Investors and financial experts are much concerned about how to succeed in CPI, and about whether invest in stocks can prevent the risk of devaluate, or invest in what type of stocks investors can achieve maintenance and increment. This paper first discusses the review of literature related to “Fisher Effect”, focusing on the theoretic basis and its application of “Fisher Effect” as well as the various western hypotheses based on the paradox of “Fisher Effect” since 1970s, then this paper makes a general summary of recent domestic study. As part of empirical research, this paper uses the monthly data dated from January 1997 to December 2007, which first verifies the variable’s stationary, then applies the least square regression to the stock return ratio and inflation ratio so as to verify the Fisher Effect, at the same time uses H-P method and ARIMA mode to divide inflation into anticipated and unanticipated inflation, making a regression of the two inflation and the stock return rate in order to further test the existence of Fisher effect in China’s stock market. As both stock return ratio and inflation rate are first-order non-stationary time series, to avoid spurious regression, this paper uses Johansen test for the cointegration. Then based on the cointegration test, Granger Causality test is applied to stock return ratio and inflation rate. Last, stock return rate is classified by industries, discussing the relationship between various industries index return rate and inflation. The result concludes that there is a positive correlation between inflation ratio and stock return, and that the Fisher Effect exists in China’s stock market. In a