Empirical Study Of Chinese Stock Returns And Inflation

The interaction between stock returns and inflation is an area that has intrested economists and monetary economists for a long time. What the economists are intrested is whether there is a certain relation between stock returns and inflation,whlie what the monetary economists are intrested is whether the stock return can lead to inflation ,for they should be responsible for the general price level. In order to explore the relationship between stock return and inflation, we use the data from jan 1 -1996 to auguest 1-2009 to make some modles to test it.In this paper, referred to domestic and foreign literature,we draw on the relationship between stock returns and inflation on the basis of theoretical and empirical research applying time series econometric model. Chapter I is the Introduction, it mainly introduce the background and significance of writing this paper,the main content, structure and writing method. Chapter II stock returns and inflation-related theories and literature review, it mainly introduces the theory of Fisher Effect theory and theoretical explanation of the Fisher effect related to the hypothesis and several transfer theory between stock returns and inflation. Chapter III the empirical analysis of China's stock returns and inflation relationship . In this part ,we test whether the Fisher effect hypothesis is right in our stock market through the establishment of the regression equation ,and then explain the paradox of the Fisher effect hypothesis .two kinds of theory, volatility hypothesis and proxy hypothesis have been tested. Chapter IV A VAR model based on stock returns and inflation of the empirical analysis, In this part ,through the introduction of broad money supply, we establish four variable vector autoregressive model among the stock returns, inflation, output growth and money supply growth rate ,and tells the relationship between them and empirical analysis. Chapter V Conclusions and policy recommendations. In this part we summarizes the conclusions gives a simple policy recommendations.