Research On The Impact Of Inlfation To Stock Returns In China

With the development of economic and stock market, the stock has become the public generally accepted investment vehicles. Many foreign scholars used the Fisher effect in the stock market and studied the relationship between the actual stock returns and inflation rate, according to the different markets of different data. They got different conclusions.In recent years, by the internal and external factors, China’s economy was in the situation of high growth and high inflation, in the same time, as the national economy’s "barometer", the stock market fluctuate significantly. The Shanghai Composite Index broke the6000points and hit a record in2007, and began tumbled. What is the relationship between China’s stock returns and inflation rate, which sections’stock of the stock market could against inflation better. Based on the issues, this article innovatively select Composite Index of small plates, the CSI300Index and SSE50Index representing small cap stocks, disk shares, and market shares to calculate the actual stock returns to examine the impact of inflation on stock returns.This article is divided into five parts. The first part of this article clarified the background, significance, research ideas, content and structure arrangements and innovations etc. grasp the overall situation of the paper. In the second part, systematically introduce the theory of inflation in each school, Fisher Effect and Fisher Effect paradox’s explanation hypothesis. In the third part, qualitative analysis the relationship of inflation and stock returns, and the transmission mechanism between them. The fourth part of this article on the base of previous three parts use Unit root tests on the relevant data, and then build the least squares method and the vector auto-regression model to test the Fisher Effect, use the impulse response function analysis the estimate equation results. The empirical test results show that the negative correlation between real stock returns and inflation rate. Finally, analyze the empirical results and make relevant policy recommendations.