Fisher模型在中国股票市场上的实证检验

Fisher模型在美国的股票收益率和通货膨胀率实证检验后得出:短期内(1年)股票实际收益率不对通货膨胀率做出反应,长期内(5年)存在一个正的关系．在中国实证检验下得到月度和季度下(短期)负的相关关系．取五年跨度(长期)分析得到一个正的相关关系．这说明投资者在股票市场上(1年内)的投机行为不能规避通胀．而长期(5年或5年以上)投资才有一个好的收益．因此,保险资金在银行存款、国债不能满足保值增值要求的今天,投资收益高、容量大的股市无疑是最佳选择,它不但可以完全抵御通胀而且可以获得资本利得．

Empirical Study Fisher Model on the Stock Market in China

Fisher Model put forward the theory that assets nominal profit rate move in the same direction with anticipate inflation rate, namely anticipate inflation rate raises 1% will lead to 1% in stock profit rate. As this model interprets stock profit rate and inflation rate in the United States, in experiment a conclusion is drawn that stock actual profit rate has no reaction with inflation rate in short term (one year), but a relation of direct proportion exists in long term (Five years). In dealing with China's situation, we take monthly and quarterly data from December 1990 to December 2004 together with research on significant event in different phases. Finally a conclusion is drawn that a relation of indirect proportion in short term, while it is completely different in long run. Therefore, opportunists are unable to avoid inflation in stock market in short term (A year or within a year) . Long term (5 years or over 5 years) invest will have a profitable outcome. Today as insurance funds failed to meet the demand of rising or keeping value in aspects of bank deposit and bonds, stock market with high-profit return and large capacity belongs to the best choice. Because it does not only completely resist inflation, but also obtain better capital profit.