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通货膨胀率是否会对股票收益率产生影响,产生怎样的影响都备受金融界学者专家的关注,但却没有一致的定论,并且国内的研究也较少。股票收益能否抵御通货膨胀,股票投资是否能起到保值、增值的作用也是被投资者所关注的。统计表明,上证180指数的流通市值占到沪市流通市值的50%,成交金额占比也达到47%。因此,本文选取上证180作为研究样本,运用2001~2014年的上市公司数据和资料,借鉴国内外相关研究的最新成果,建立VAR模型,通过脉冲响应函数,分析通货膨胀率与股票收益率以及其他广义控制变量之间的脉冲响应特性。实证研究表明:在该阶段我国股票收益率与通货膨胀之间存在着较为明显的正相关关系,同时通货膨胀率对流通性强、市场代表性强以及规模较大、竞争力较强的上市公司股票收益率的影响更大,正相关关系更为明显。
Whether the inflation rate will have an impact on the stock rate of return, and what kind of impact it has received is the concern of scholars of finance scholars. However, there is no unanimous conclusion and few domestic studies. Whether the stock returns can resist inflation and whether the stock investment can hedge, the value-added role is also concerned by investors. Statistics show that the circulation of the Shanghai Composite 180 Index’s market capitalization accounted for 50% of the Shanghai market capitalization, turnover accounted for 47%. Therefore, this paper selects the Shanghai Stock 180 as the research sample, uses the data and data of listed companies from 2001 to 2014, draws on the latest research results at home and abroad, establishes the VAR model, analyzes the inflation rate and the stock return rate and other Impulse Response Between Generalized Control Variables. Empirical studies show that: at this stage there is a significant positive correlation between the stock return and inflation in China, meanwhile, the inflation rate is positive for listed companies with strong liquidity, strong market representation, large scale and strong competitiveness The impact of the stock rate of return is greater, the positive correlation is more obvious.