臺灣博碩士論文加值系統

本文站在「費雪效果假說」的角度，採用小波相關性分析法探討1996年1月至2019年6月中國股市與通貨膨脹之間的關係。研究結果顯示無論是否考量貨幣供給量，在短期和中期內，中國股市的變動與物價變動之間具有高度顯著正相關的關係。在長期內，僅有2001-2002年和2006-2007年兩者呈現負相關外，皆呈現正相關的關係且彼此存在相互影響和滯後效應。另還發現在1999年以前主要是由物價變動而引起股價指數的變動，但1999年開始明顯轉為由股價指數的變動而引起物價的變動。在2003年後，中國貨幣供給量明顯的大幅增長，對於中國股市與物價間的關係明顯發生結構性轉變，這隱含著中國貨幣供給量對於股票市場及物價變動有相當性的影響。整體而言，本文研究與Fisher (1930)所提出的基本結論相一致，代表費雪效果假說存在中國股票市場，投資人持有股票能發揮保值的作用及當作對抗通貨膨脹的避險工具。

We apply wavelet analysis to investigate how inflation rate affects stock market returns in China over the period of 1996/1-2019/6 from the “Fisher Effect Hypothesis” point of view. We also use M2 as a control variable for comparison purpose. Empirical results indicate that inflation rate affects stock returns significantly and positive in both the short- and mid-run. However, we find inflation rate affects stock market returns significantly and negative during 2001-2002 and 2006-2007 and positive for the rest of time periods in the long-run. Overall, our study supports “Fisher Effect Hypothesis” using Chinese data sets. Empirical results indicate that investors in China can hedge the inflation risk through stock market investment during the inflation period.

目　　錄
第一章 緒論....................................1
第一節 研究動機及背景...........................1
第二節 研究目的.................................3
第三節 研究架構.................................4
第二章 文獻探討.................................6
第一節 通貨膨脹與股票報酬之相關文獻..............6
第二節 通貨膨脹、貨幣供給與股票報酬之相關文獻....10
第三節 小結....................................11
第三章 研究方法................................17
第一節 研究變數定義及趨勢圖.....................17
第二節 計量方法................................22
第四章 實證結果分析與政策意涵...................27
第一節 資料特性與敘述性統計分析.................27
第二節 小波分析實證結果.........................28
第三節 政策意涵.................................37
第五章 結論與建議...............................38
第一節 研究結論.................................38
第二節 研究建議.................................39
參考文獻.........................................40
圖目錄
圖1-1 研究架構流程圖.............................5
圖3-1 上證指數趨勢圖.............................20
圖3-2 深證成指趨勢圖.............................20
圖3-3 消費者物價指數趨勢圖.......................21
圖3-4 貨幣供給量趨勢圖...........................21
圖4-1 上證指數、物價及貨幣供給量小波相關性........36
圖4-2 深證成指、物價及貨幣供給量小波相關性........36
表目錄
表2-1 通貨膨脹與股票報酬正相關文獻整理............12
表2-2 通貨膨脹與股票報酬負相關文獻整理............14
表2-3 通貨膨脹、貨幣供給與股票報酬相關文獻整理.....15
表4-1 中國股市、消費者物價指數及貨幣供給之敘述統計量.....28
表4-2 物價變動和上證指數變動之關係整理.............33
表4-3 貨幣供給量變動、物價變動和上證指數變動之關係整理....33
表4-4 物價變動和深證成指變動之關係整理.............34
表4-5貨幣供給量變動、物價變動和深證成指變動之關係整理......34

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