A Study on the Correlation between Stock Returns and Inflation Rate - Based on the Study of China's Economic Cycle Fluctuation
A Study on the Correlation between Stock Returns and Inflation Rate - Based on the Study of China's Economic Cycle Fluctuation
Author：Liu Jinquan, Ma Yanan Journal：Jilin University Journal Social Sciences Edition Date：2009(1)
Keywords Stock rate of return; inflation rate; district transfer model; vector autoregressive model;
Abstract
The relationship between stock yield and inflation rate plays an important role in judging economic policy effect and evaluating market function. We study the relationship between the real rate of return and the rate of inflation in China. We find that the relationship between the inflation rate and the stock's real yield depends on the stock market. When the stock market is in a significant expansion or contraction phase, inflation expectations The composition and the composition of the cycle have the opposite effect on the stock yield, which means that the "Fisher hypothesis" and "agency hypothesis" are established at different stages of the stock market.
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