本文選題：通貨膨脹率　切入點：股票實際收益率　出處：《哈爾濱商業(yè)大學》2013年碩士論文　論文類型：學位論文

【摘要】：中國股票市場自成立以來,吸引了越來越多的投資者進入股票市場并選擇股票投資作為自己的投資理財方式。然而,當今世界各國尤以美國為首濫發(fā)貨幣導致全球流動性過�，F(xiàn)象十分嚴重,通貨膨脹成為世界經濟常態(tài),尤其對于通貨膨脹形勢不斷變化的中國經濟而言,投資股票能否抵御通貨膨脹風險并起到保值增值的作用,股票實際收益率和通貨膨脹率到底存在怎樣的關系,引起了投資者的普遍關心,也是學者們關注研究的熱點問題。 本文在查找并閱讀大量國內外文獻的基礎上,了解西方經濟學家關于股票收益率和通貨膨脹率兩者關系的相關理論,對我國上證A股股票實際收益率、通貨膨脹率、貨幣供給增長率、工業(yè)增加值增長率從1996年1月到2012年3月的月度數(shù)據(jù)進行處理,分為股權分置改革之前(1996.01-2005.04)和股權分置改革之后(2005.05-2012.03)兩個時間段,分別應用時間序列計量經濟模型進行實證研究,得出了我國上證A股股票實際收益率和通貨膨脹率負相關的結論,并運用西方經濟學家相關理論和投資理論中的分離定理、資本市場線、資本資產定價模型(CAPM)等相關知識進行了規(guī)范分析,最后還提出了相關對策建議。 本文內容分為五大部分。第一章是緒論,主要介紹文章的研究意義、研究內容與方法和國內外研究現(xiàn)狀。第二章在引入核心概念的基礎上,又分別介紹了西方經濟學家關于股票收益率和通貨膨脹率關系的相關理論,包括Fisher假說、代理假說、波動性假說、風險溢價假說、貨幣幻覺假說、反向因果關系假說。第三章介紹了我國近二十年來股票市場狀況和股票市場作用于實體經濟的途徑,還介紹了我國近二十年來通貨膨脹形勢以及通貨膨脹對國民經濟和股票市場的影響。第四章是全文的核心部分,本章分別對股權分置改革前后兩個時間區(qū)間的數(shù)據(jù)在單位根檢驗的基礎上進行Johansen協(xié)整檢驗,得出變量間的協(xié)整關系,接著又進行格蘭杰因果檢驗并建立向量自回歸(VAR)模型,然后又進行脈沖響應分析和方差分解,最后還建立了向量誤差修正(VEC)模型。在實證研究的基礎上,利用第二章西方學者相關理論對上證A股股票實際收益率和通貨膨脹率的負相關關系進行了簡單的規(guī)范分析,還從投資學相關理論—分離定理、資本市場線和資本資產定價模型(CAPM)的全新角度進行了深入的規(guī)范分析,合理地論證了實證研究的結論。第五章在前文研究的基礎上提出了相關對策建議。
[Abstract]:Since the establishment of the Chinese stock market, more and more investors have been attracted to enter the stock market and choose stock investment as their own investment financing method. In today's world, the United States-led currency abuse has led to a very serious phenomenon of excess global liquidity, and inflation has become the norm in the world economy, especially for the Chinese economy, where the inflation situation is constantly changing. Whether the investment stock can resist the inflation risk and play a role in maintaining and increasing the value of the value, the relationship between the real return rate of stock and the inflation rate has aroused the widespread concern of investors, and is also a hot issue that scholars pay attention to. On the basis of looking up and reading a large number of domestic and foreign literatures, this paper understands the relevant theories of western economists on the relationship between stock yield and inflation rate, and gives an analysis of the real rate of return and inflation rate of A shares in Shanghai Stock Exchange of China. The monthly data of the growth rate of money supply and industrial value added from January 1996 to March 2012 are divided into two periods: before the split share structure reform (1996.01-2005.04) and after the equity split structure reform (2005.05-2012.03). By using time series econometrics model, this paper draws a conclusion that the real return rate of A shares in Shanghai Stock Exchange is negatively correlated with inflation rate, and applies the separation theorem of western economists' theory and investment theory. The related knowledge of capital market line, capital asset pricing model and so on are analyzed, and the relevant countermeasures and suggestions are put forward. This paper is divided into five parts. The first chapter is the introduction, mainly introduces the significance of the article, research content and methods and domestic and foreign research status. It also introduces the relevant theories of western economists on the relationship between stock returns and inflation, including Fisher hypothesis, proxy hypothesis, volatility hypothesis, risk premium hypothesis, monetary illusion hypothesis. The reverse causality hypothesis. Chapter three introduces the stock market situation in China in the past 20 years and the ways in which the stock market acts on the real economy. It also introduces the inflation situation and the impact of inflation on the national economy and the stock market in China in the past two decades. Chapter 4th is the core part of the paper. In this chapter, Johansen cointegration test is carried out on the basis of unit root test for the data of two time intervals before and after the split share structure reform, and then Granger causality test is carried out and vector autoregressive (VAR) model is established. Then impulse response analysis and variance decomposition are carried out. Finally, vector error correction (VEC) model is established. In the second chapter, the author makes a simple normative analysis of the negative correlation between the real return rate and inflation rate of A shares in Shanghai Stock Exchange by using the relevant theories of western scholars, and analyzes the separation theorem from the relevant theory of investment science. The capital market line and the capital asset pricing model (CAPM) are analyzed from a new perspective, and the conclusions of the empirical study are reasonably demonstrated. Chapter 5th puts forward the relevant countermeasures and suggestions on the basis of the previous research.
【學位授予單位】：哈爾濱商業(yè)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F822.5

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本文編號：1608723