Comparative Analysis Of The Impact Of Inflation On Stock Returns In Different Sectors, Based On VAR Model

Economists and investors are very concerned about inflation. And the start point of this issue of many financial economists is to know how to do well in the context of inflation and how to preserve and increase the value of assets. So this study attempts to analyze the relationship between inflation and the stock market industry returns. And focused on the performance of the stock market in various sectors under the conditions of inflation and expect to find good investment opportunities.Firstly, this paper reviews the previous research on relations of inflation and capital market yields. The details, described in two parts, contain study of the correlation between inflation and stock market composite index and research of relationship of different industries stock price index.Secondly, we chose PPI as the index of inflation, and CSI 300 Sector indices as industries stock price index. we have divided CSI 300 into three categories and taken each for analysis with the division criteria of the correlation with inflation cycle.Finally, the empirical results show, the CSI 300 index of ten industries under the impact of inflation has different performance. Shun-inflation cycle industry: financial, real estate, energy, consumer and raw materials industries, under the positive impact of inflation, the index will increase the short term. But apart from financial and real estate stocks, the other three stocks fell rapidly after the city and have a negative impact on long-term effects. Therefore, the stock is relatively more suitable for such a short-term operation. The inverse of inflation stocks: industrial, consumer and alternative medical and health industry, performance in line with expectations, the impact will lead to a rapid decline in short-term index, and then will quickly rebound. The remaining weak and inflation-related sectors: public, information technology and telecommunications industries, the impact of stock index more volatile, and there is no obvious trend, and correlation is weak. Granger causality test also showed that only a few industries index and inflation, or industry index exists between the one-way Granger causality.