通货膨胀影响中国资本市场的实证研究
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摘要
通货膨胀已成为现代社会中一种非常普遍的经济现象,通货膨胀与资本市场尤其是与股票、固定收益债券市场及行业分化等相关性问题得到理论界和实务界的极大关注。本文针对通货膨胀与中国资本市场的关系开展理论与实证研究。
在金融学理论中,描述通货膨胀与资产收益之间关系的主要是“费雪效应”。1930年费雪提出了关于实际利息率独立于通货膨胀率的假说,他认为资产的预期名义收益应该等于预期实际收益加上预期通货膨胀率。
20世纪70年代以前,研究人员普遍认为股票是很好的通货膨胀保值品,名义股票收益率与通货膨胀率呈正相关关系,因为股票代表有形或者说实际资产的所有权。由于货币供应量上升带来通货膨胀,货币贬值,投资者采用保值手段,将货币投向股票市场,股票收益也应该增加,因此股票可以作为未预期通货膨胀一个可能的保值手段,这种观点与“费雪效应”吻合。
20世纪70年代之后,研究人员大量实证研究结果却表明股票收益率与通货膨胀率之间存在四种相关关系:正相关、负相关、不确定(即,相关关系随着时间的推移而发生变化)以及不相关,这一结论明显有悖于“费雪效应”(文中称之为“费雪效应悖论”)。针对理论推断和实证研究结果之间的差异,学者们提出了多种理论假说试图对此现象进行解释,如风险溢价假说、税收效应假说、货币幻觉假说、代理假说、波动性假说、名义契约假说与反向因果关系假说等。
新中国资本市场起步较晚,上海和深圳证券交易所分别建立于1990和1991年,市场体系仍在不断完善过程之中。目前只有少数研究人员针对国内资本市场中股票收益率与通货膨胀率之间的关系开展了相关研究,还有少数研究人员开展了金融资产收益率与通货膨胀之间关系研究,但研究的系统性都不足。多数文献仅着眼于股票市场收益率,很少有研究人员关注通货膨胀对固定收益证券收益率的影响。尤其是通货膨胀在不同时期影响资本市场行业分化的规范性研究文献很少,尚未有一个比较令人信服的实证研究。基于上述背景,本文针对通货膨胀与资本市场关系开展的实证研究既有一定的理论意义,也有较好的实践价值。
在内容和结构安排上,全文共六章,可划分为四部分。文章首先对中国的资本市场发展与通货膨胀进行了回顾。其次,对通货膨胀影响股票市场收益率展开探讨,对通货膨胀影响固定收益证券的一、二级市场也进行了研究,第三,具体到实际应用中,则具体了考查通货膨胀对资本市场中行业分化带来的影响。最后是给出结论和政策建议。
本文采用了规范与实证相结合的研究方法,遵循从理论先行到指导实践再到补充完善相关理论的研究思路。整体来看,本文立足于通货膨胀影响资本市场的理论,从宏观角度重点考察了通货膨胀对中国股票市场、固定收益证券市场的影响,从实践的角度探讨了通货膨胀对资本市场行业分化的影响,继而得出了通货膨胀与行业分化之间的一些内在关系。本文所做的工作及主要创新之处包括:
第一,以前的文献只是从通货膨胀影响股票市场收益率的角度来进行研究,对固定收益证券研究很少涉及。本文通过通货膨胀对资本市场(含股票市场和固定收益证券市场)影响的研究,尽可能全面地分析研究通货膨胀对资本市场的影响关系。
第二,在股票市场中,投资者行为主要通过量价来反映,交易量信息在考察通货膨胀与股票收益之间的关系时扮演着重要角色,以往文献针对中国股票市场开展实证分析时往往都忽视了这一点。因此,本文引入交易量指标,以便更准确地测度通货膨胀对股票收益的影响,采用向量自回归方法与格兰杰因果检验分析了通货膨胀、股票收益以及交易量之间的动态关系,为二者之间的关系提供进一步的证据。
第三,为了考察通货膨胀波动程度对股票市场的影响,本文以ARCH系列模型拟合通货膨胀的动态行为,检验通货膨胀波动率对股票收益的影响。结果发现,通货膨胀波动率与上证综合指数收益之间表现为负向影响,但与深证成份指数收益之间表现为正向影响。
第四,无论在理论界还是实务界,关于通货膨胀对固定收益证券影响的研究并不多见,而鉴于固定收益证券与权益证券的定价方式具有较大的差异,已有的研究成果并没有太多可以借鉴的地方。本文提出这一研究思路本身就是创新,文中用误差修正模型(ECM)来分析通货膨胀对固定收益证券的影响,最后的计量结果也是较符合现实情况。
第五,在证券市场投资分析活动中,对行业板块的研究分析是投资者资产配置的重要环节。本文理论与实践相联合,探讨通货膨胀对资本市场行业分化带来的影响,通过研究分析通货膨胀与资本市场中各行业分化之间的关系,可以有效地为投资实践提供指导意见。
In the modern economy society, inflation has become a very common phenomenon, and its socio-economic impact is always of concern, while the relationship of inflation and the capital market has always been a hot issue of finance. Whether the capital market can play an important role in preserving and increasing expectations of investors? They are the focuses on which researchers and investors in China's capital markets. Therefore, this article focuses on empirical research how the rate of inflation takes impact on capital market.
According to Western theories, the starting point of what they studied is the test of Fisher Effect, which was expected to consider the expected nominal returns of assets should equal to the expected real return plus expected inflation. Before 1970, Western economists generally thought that stock was a good inflation hedge commodity, and there was a positive correlation between the nominal stock returns and inflation rate. This view is consistent with Fisher in 1930 on the hypothesis that real interest rate is independent of the inflation rate. Some financial economists believe that stock returns and actual inflation should be positively correlated, because the stock on behalf of the tangible or real assets of ownership. Because rising money supply will cause inflation, currency will be devaluated, then investors will take measures to use hedge instruments, and currency will put into stock market, and stock returns should also be increased, so the stock can be used as a possible hedge means against unexpected inflation.
However, after 20th 70's, many researchers conduced studies on the relationship between the returns of stock and the inflation rate by using empirical test on different countries, different periods or different stocks, and they drew four conclusions: positive correlation, negative correlation, uncertainty (i.e. correlation with the passage of time changes), and irrelevant. A large number of empirical research results show that: the real rate of returns of the stock and inflation rate have significant negative correlations. The above-mentioned differences between theoretical and empirical test have been described as the paradox between the relationships of stock returns and inflation rate. The researchers then put forward the hypothesis of a variety of theories attempts to explain this phenomenon, such as Risk Premium hypothesis, the Tax Effect Hypothesis, the Money Illusion Hypothesis, and the Proxy Hypothesis, but they do not form a unified view.
In China, the capital market developed late, Shanghai & Shenzhen stock exchange were estabilished on year 1990 & year 1991 respectively. However, some researchers also studied the relationship between the real stock returns of financial assets and the inflation, but these studies was not systematical, and most of the literatures are in view of real stock returns, while few of them focus on the effects of inflation on fix-incom securities market. Especially, these are few literatures which aimed to explain how the stock market performs at different inflation periods. So far, there is not a convincing empirical test to prove the relationship.
This paper deals with the effects of inflation on the capital market in theory research and practice. It has both theoretical depth and practical value. This article will first impact on inflation to start to explore the rate of return of stock market. Secondly, the capital market is much more than just the stock market; it should also include the increasing growth of fixed-income security market. Equity and fixed income securities impact each other, the relationship between inflation and fixed income securities will affect the demand for the shares, and then affect the returns of the stock market. Thirdly, specific to the actual applications, this paper specifically examine the impact of inflation on the differentiation of the industry.
This paper is divided into four sections, including six chapters. This article uses a combination of normative and empirical research methods, following guidance from theory to practice at first and then to complement the theoretical study related ideas. Overall, this article is based on the theory of how inflation affect the capital market, and focuses on the impact of inflation on the Chinese stock market and fixed-income bond market from a macro-perspective, studies on the impact of inflation to various industries from a practical point of view, then obtained some inherent relationship between the inflation and the industry differentiation.
This paper has the following major innovations:
Firstly, previous literatures studied only from the perspectives of how inflation affects the rate of return of stock market; the study of fixed-income bonds is rarely involved. This article examines the effect of inflation on the capital market rather than the impact of the stock market, as far as possible in order to realize a comprehensive analysis on how inflation affects the capital market.
Secondly, in the stock market the investors usually pay much attention to the risk-return relationship and the price-trading volume relationship. The trading volume may play an important role when we measure the influence of the inflation on the stock return. The analysis about China's stock market in pervious literatures often missed this point. Therefore, in this paper, in order to measure the effect of inflation on return of stock market more accurately, we involve in trading volume, using Linear Regression and Granger Causality Tests to analyze the relationship among inflation, return of stock and trading volume, and provide proofs of this relationship, Different from other studies, this paper considers the influence of the trading volume on the inflation-return relationship.
Thirdly, there are few studies analyze the influence of the inflation volatility on the stock return. This paper employed a class of ARCH models and fit the behavior of the inflation. Further empirical study show that the volatility of the inflation is negatively related to the stock return in Shanghai stock market and positively related to the stock return in Shenzhen stock market, Therefore, there are some differences between the effects of inflation on Shanghai stock market and Shenzhen stock market.
Fourthly, whether in theory or practice industry sector, study on how the inflation affects fixed-income securities is rare, and in view of that fixed-income securities and equity securities pricing has big difference in pricing model, so the results of these studies do not give too much to learn. This paper uses Error Correction Model (ECM) to analyze the impact of inflation on fixed-income securities. Besides the research methods, the study itself is innovative, final measurement result is more in line with reality.
Fifthly, the paper combines theory with practice to explore the differentiation of the impact on inflation to the industry. In the analysis activities of stock market investment, test to industry plates is one important part of asset allocation, and specific research and analysis to how inflation affects the differentiation of industry can provide effective guidance for practice.
在金融学理论中,描述通货膨胀与资产收益之间关系的主要是“费雪效应”。1930年费雪提出了关于实际利息率独立于通货膨胀率的假说,他认为资产的预期名义收益应该等于预期实际收益加上预期通货膨胀率。
20世纪70年代以前,研究人员普遍认为股票是很好的通货膨胀保值品,名义股票收益率与通货膨胀率呈正相关关系,因为股票代表有形或者说实际资产的所有权。由于货币供应量上升带来通货膨胀,货币贬值,投资者采用保值手段,将货币投向股票市场,股票收益也应该增加,因此股票可以作为未预期通货膨胀一个可能的保值手段,这种观点与“费雪效应”吻合。
20世纪70年代之后,研究人员大量实证研究结果却表明股票收益率与通货膨胀率之间存在四种相关关系:正相关、负相关、不确定(即,相关关系随着时间的推移而发生变化)以及不相关,这一结论明显有悖于“费雪效应”(文中称之为“费雪效应悖论”)。针对理论推断和实证研究结果之间的差异,学者们提出了多种理论假说试图对此现象进行解释,如风险溢价假说、税收效应假说、货币幻觉假说、代理假说、波动性假说、名义契约假说与反向因果关系假说等。
新中国资本市场起步较晚,上海和深圳证券交易所分别建立于1990和1991年,市场体系仍在不断完善过程之中。目前只有少数研究人员针对国内资本市场中股票收益率与通货膨胀率之间的关系开展了相关研究,还有少数研究人员开展了金融资产收益率与通货膨胀之间关系研究,但研究的系统性都不足。多数文献仅着眼于股票市场收益率,很少有研究人员关注通货膨胀对固定收益证券收益率的影响。尤其是通货膨胀在不同时期影响资本市场行业分化的规范性研究文献很少,尚未有一个比较令人信服的实证研究。基于上述背景,本文针对通货膨胀与资本市场关系开展的实证研究既有一定的理论意义,也有较好的实践价值。
在内容和结构安排上,全文共六章,可划分为四部分。文章首先对中国的资本市场发展与通货膨胀进行了回顾。其次,对通货膨胀影响股票市场收益率展开探讨,对通货膨胀影响固定收益证券的一、二级市场也进行了研究,第三,具体到实际应用中,则具体了考查通货膨胀对资本市场中行业分化带来的影响。最后是给出结论和政策建议。
本文采用了规范与实证相结合的研究方法,遵循从理论先行到指导实践再到补充完善相关理论的研究思路。整体来看,本文立足于通货膨胀影响资本市场的理论,从宏观角度重点考察了通货膨胀对中国股票市场、固定收益证券市场的影响,从实践的角度探讨了通货膨胀对资本市场行业分化的影响,继而得出了通货膨胀与行业分化之间的一些内在关系。本文所做的工作及主要创新之处包括:
第一,以前的文献只是从通货膨胀影响股票市场收益率的角度来进行研究,对固定收益证券研究很少涉及。本文通过通货膨胀对资本市场(含股票市场和固定收益证券市场)影响的研究,尽可能全面地分析研究通货膨胀对资本市场的影响关系。
第二,在股票市场中,投资者行为主要通过量价来反映,交易量信息在考察通货膨胀与股票收益之间的关系时扮演着重要角色,以往文献针对中国股票市场开展实证分析时往往都忽视了这一点。因此,本文引入交易量指标,以便更准确地测度通货膨胀对股票收益的影响,采用向量自回归方法与格兰杰因果检验分析了通货膨胀、股票收益以及交易量之间的动态关系,为二者之间的关系提供进一步的证据。
第三,为了考察通货膨胀波动程度对股票市场的影响,本文以ARCH系列模型拟合通货膨胀的动态行为,检验通货膨胀波动率对股票收益的影响。结果发现,通货膨胀波动率与上证综合指数收益之间表现为负向影响,但与深证成份指数收益之间表现为正向影响。
第四,无论在理论界还是实务界,关于通货膨胀对固定收益证券影响的研究并不多见,而鉴于固定收益证券与权益证券的定价方式具有较大的差异,已有的研究成果并没有太多可以借鉴的地方。本文提出这一研究思路本身就是创新,文中用误差修正模型(ECM)来分析通货膨胀对固定收益证券的影响,最后的计量结果也是较符合现实情况。
第五,在证券市场投资分析活动中,对行业板块的研究分析是投资者资产配置的重要环节。本文理论与实践相联合,探讨通货膨胀对资本市场行业分化带来的影响,通过研究分析通货膨胀与资本市场中各行业分化之间的关系,可以有效地为投资实践提供指导意见。
In the modern economy society, inflation has become a very common phenomenon, and its socio-economic impact is always of concern, while the relationship of inflation and the capital market has always been a hot issue of finance. Whether the capital market can play an important role in preserving and increasing expectations of investors? They are the focuses on which researchers and investors in China's capital markets. Therefore, this article focuses on empirical research how the rate of inflation takes impact on capital market.
According to Western theories, the starting point of what they studied is the test of Fisher Effect, which was expected to consider the expected nominal returns of assets should equal to the expected real return plus expected inflation. Before 1970, Western economists generally thought that stock was a good inflation hedge commodity, and there was a positive correlation between the nominal stock returns and inflation rate. This view is consistent with Fisher in 1930 on the hypothesis that real interest rate is independent of the inflation rate. Some financial economists believe that stock returns and actual inflation should be positively correlated, because the stock on behalf of the tangible or real assets of ownership. Because rising money supply will cause inflation, currency will be devaluated, then investors will take measures to use hedge instruments, and currency will put into stock market, and stock returns should also be increased, so the stock can be used as a possible hedge means against unexpected inflation.
However, after 20th 70's, many researchers conduced studies on the relationship between the returns of stock and the inflation rate by using empirical test on different countries, different periods or different stocks, and they drew four conclusions: positive correlation, negative correlation, uncertainty (i.e. correlation with the passage of time changes), and irrelevant. A large number of empirical research results show that: the real rate of returns of the stock and inflation rate have significant negative correlations. The above-mentioned differences between theoretical and empirical test have been described as the paradox between the relationships of stock returns and inflation rate. The researchers then put forward the hypothesis of a variety of theories attempts to explain this phenomenon, such as Risk Premium hypothesis, the Tax Effect Hypothesis, the Money Illusion Hypothesis, and the Proxy Hypothesis, but they do not form a unified view.
In China, the capital market developed late, Shanghai & Shenzhen stock exchange were estabilished on year 1990 & year 1991 respectively. However, some researchers also studied the relationship between the real stock returns of financial assets and the inflation, but these studies was not systematical, and most of the literatures are in view of real stock returns, while few of them focus on the effects of inflation on fix-incom securities market. Especially, these are few literatures which aimed to explain how the stock market performs at different inflation periods. So far, there is not a convincing empirical test to prove the relationship.
This paper deals with the effects of inflation on the capital market in theory research and practice. It has both theoretical depth and practical value. This article will first impact on inflation to start to explore the rate of return of stock market. Secondly, the capital market is much more than just the stock market; it should also include the increasing growth of fixed-income security market. Equity and fixed income securities impact each other, the relationship between inflation and fixed income securities will affect the demand for the shares, and then affect the returns of the stock market. Thirdly, specific to the actual applications, this paper specifically examine the impact of inflation on the differentiation of the industry.
This paper is divided into four sections, including six chapters. This article uses a combination of normative and empirical research methods, following guidance from theory to practice at first and then to complement the theoretical study related ideas. Overall, this article is based on the theory of how inflation affect the capital market, and focuses on the impact of inflation on the Chinese stock market and fixed-income bond market from a macro-perspective, studies on the impact of inflation to various industries from a practical point of view, then obtained some inherent relationship between the inflation and the industry differentiation.
This paper has the following major innovations:
Firstly, previous literatures studied only from the perspectives of how inflation affects the rate of return of stock market; the study of fixed-income bonds is rarely involved. This article examines the effect of inflation on the capital market rather than the impact of the stock market, as far as possible in order to realize a comprehensive analysis on how inflation affects the capital market.
Secondly, in the stock market the investors usually pay much attention to the risk-return relationship and the price-trading volume relationship. The trading volume may play an important role when we measure the influence of the inflation on the stock return. The analysis about China's stock market in pervious literatures often missed this point. Therefore, in this paper, in order to measure the effect of inflation on return of stock market more accurately, we involve in trading volume, using Linear Regression and Granger Causality Tests to analyze the relationship among inflation, return of stock and trading volume, and provide proofs of this relationship, Different from other studies, this paper considers the influence of the trading volume on the inflation-return relationship.
Thirdly, there are few studies analyze the influence of the inflation volatility on the stock return. This paper employed a class of ARCH models and fit the behavior of the inflation. Further empirical study show that the volatility of the inflation is negatively related to the stock return in Shanghai stock market and positively related to the stock return in Shenzhen stock market, Therefore, there are some differences between the effects of inflation on Shanghai stock market and Shenzhen stock market.
Fourthly, whether in theory or practice industry sector, study on how the inflation affects fixed-income securities is rare, and in view of that fixed-income securities and equity securities pricing has big difference in pricing model, so the results of these studies do not give too much to learn. This paper uses Error Correction Model (ECM) to analyze the impact of inflation on fixed-income securities. Besides the research methods, the study itself is innovative, final measurement result is more in line with reality.
Fifthly, the paper combines theory with practice to explore the differentiation of the impact on inflation to the industry. In the analysis activities of stock market investment, test to industry plates is one important part of asset allocation, and specific research and analysis to how inflation affects the differentiation of industry can provide effective guidance for practice.
引文
[1]中国证券监督管理委员会.中国资本市场报告.北京:中国金融出版社,2008年.
[1]中国证券业协会.中国证券业发展报告.北京:中国财政经济出版社,2005年.
[2]中国证券监督管理委员会.中国资本市场发展报告.北京:中国金融出版社,2008年.
[1]中国证券业协会.中国证券业发展报告.北京:中国财政经济出版社,2005年.
[1]中国证券业协会.中国证券业发展报告.北京:中国财政经济出版社,2005年
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