本文選題：通貨膨脹率 + 行業(yè)股票收益率　； 參考：《寧波大學(xué)》2014年碩士論文

【摘要】：在股票市場(chǎng)日趨發(fā)展下，，股票作為一種投資品得到廣大市民的認(rèn)可。投資者逐漸從單純的看重股票價(jià)值過渡到對(duì)實(shí)體經(jīng)濟(jì)中通貨膨脹的關(guān)注。股票是否對(duì)通貨膨脹具有保值作用；通貨膨脹對(duì)股票收益率的短期和中期影響是否相同；不同行業(yè)股票收益率受預(yù)期和非預(yù)期通貨膨脹的影響又是如何等問題成為關(guān)注的焦點(diǎn)。因此，研究通貨膨脹對(duì)股票收益率的影響具有一定的經(jīng)濟(jì)意義和實(shí)踐價(jià)值。 本文探討了我國(guó)通貨膨脹率對(duì)上證指數(shù)及十個(gè)不同行業(yè)股票收益率的影響。分別進(jìn)行了短期和中期分析，檢驗(yàn)了通貨膨脹對(duì)股票收益的公告效應(yīng)和消息不對(duì)稱效應(yīng)。此外，還探索了不同通脹類型下通貨膨脹對(duì)股票收益的影響情況。通過建立預(yù)期通貨膨脹率，非預(yù)期通貨膨脹率和股票收益率這三個(gè)變量的VAR模型，分析了預(yù)期通貨膨脹率，非預(yù)期通貨膨脹率對(duì)不同行業(yè)股票收益率動(dòng)態(tài)影響情況，進(jìn)一步理解股票市場(chǎng)中的行業(yè)分化現(xiàn)象。 實(shí)證結(jié)果顯示，在通貨膨脹率公告日分析中，預(yù)期通脹率對(duì)股票收益率的影響很小，而非預(yù)期通貨膨脹率對(duì)股票收益率有一個(gè)顯著負(fù)面影響；通貨膨脹消息對(duì)股票收益率影響主要發(fā)生在公告日，少部分發(fā)生在公布之后的幾天；對(duì)于公告的消息不存在任何非對(duì)稱效應(yīng)，投資者不會(huì)在意公布日的好消息與壞消息。在中期研究中，預(yù)期通脹率在不同的通貨膨脹下對(duì)上證指數(shù)的影響不同：在高通貨膨脹下影響不顯著，但是在低通貨膨脹下影響顯著為正。非預(yù)期通貨膨脹在高低通脹下都對(duì)上證指數(shù)產(chǎn)生負(fù)的顯著影響。同時(shí)，非預(yù)期通貨膨脹在低通貨膨脹下對(duì)8個(gè)行業(yè)產(chǎn)生顯著負(fù)效應(yīng)。 脈沖響應(yīng)分析顯示，在短期中，服務(wù)、地產(chǎn)、金融這三個(gè)行業(yè)股票收益可以彌補(bǔ)通貨膨脹的影響，但從長(zhǎng)期來看，中國(guó)的股票市場(chǎng)并不能達(dá)到資產(chǎn)保值的作用，但是也不排除每個(gè)行業(yè)中成長(zhǎng)性較好的股票。
[Abstract]:With the development of the stock market, the stock as an investment product has been recognized by the general public. Investors have gradually shifted from simply focusing on stock value to focusing on inflation in the real economy. Whether the stock has the function of maintaining the value of inflation, whether the impact of inflation on the stock yield is the same in the short and medium term, and how the stock yield of different industries is affected by expected and unexpected inflation has become the focus of attention. Therefore, it has certain economic significance and practical value to study the effect of inflation on stock return. This paper discusses the effect of inflation rate on Shanghai Stock Exchange Index and stock returns in ten different industries. The short- and medium-term analyses are carried out to examine the effect of inflation on stock returns and the asymmetric effect of information. In addition, the paper explores the impact of inflation on stock returns under different inflation types. By establishing the VAR model of expected inflation rate, unexpected inflation rate and stock return rate, this paper analyzes the dynamic influence of expected inflation rate and unexpected inflation rate on stock yield in different industries. Further understand the industry differentiation in the stock market. The empirical results show that the expected inflation rate has little effect on the stock yield in the analysis of inflation rate on the day of announcement, while the non-expected inflation rate has a significant negative impact on the stock return rate. The impact of inflation news on stock returns mainly occurred on the announcement day, and a few occurred a few days after the announcement. There was no asymmetric effect on the announcement, and investors would not care about the good news or the bad news on the announcement day. In the mid-term study, the impact of expected inflation on the Shanghai index was different under different inflation conditions: the impact was not significant under high inflation, but significantly positive under low inflation. Unexpected inflation in both high and low inflation on the Shanghai Stock Exchange index has a negative significant impact. At the same time, unexpected inflation has a significant negative effect on 8 industries under low inflation. Impulse response analysis shows that in the short term, stock returns in services, real estate and finance can compensate for the impact of inflation, but in the long run, China's stock market will not be able to preserve assets. But also does not rule out each industry in the growth good stock.
【學(xué)位授予單位】：寧波大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F822.5;F832.51;F224

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