Title :
The Relationship of Stock Returns and Inflation in China
Author :
Yuan, Lulu ; Chen, Lixin
Author_Institution :
Fac. of Postgrad., Liaoning Tech. Univ., Huludao, China
Abstract :
In order to study the relationship of stock returns and inflation in China, VAR model is used in this paper. Use China´s stock market data and inflation data from 1991 to 2008 to establish VAR model, then research on the relationship between the stock returns and the inflation rate by econometric methods. Empirical results show that there is a faint correlation between the stock returns and the inflation, which is a negative correlation in the long-term.
Keywords :
econometrics; inflation (monetary); stock markets; China stock market data; VAR model; econometric methods; inflation data; stock returns; Analytical models; Biological system modeling; Correlation; Economic indicators; Indexes; Stock markets; Granger Causality Test; VAR model; inflation; stock returns;
Conference_Titel :
E-Business and E-Government (ICEE), 2010 International Conference on
Conference_Location :
Guangzhou
Print_ISBN :
978-0-7695-3997-3
DOI :
10.1109/ICEE.2010.1331
