DocumentCode
2422638
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
fYear
2010
fDate
7-9 May 2010
Firstpage
5319
Lastpage
5322
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;
fLanguage
English
Publisher
ieee
Conference_Titel
E-Business and E-Government (ICEE), 2010 International Conference on
Conference_Location
Guangzhou
Print_ISBN
978-0-7695-3997-3
Type
conf
DOI
10.1109/ICEE.2010.1331
Filename
5591975
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