This study documents some unique statistical properties in the relationships among inflation, output and stock prices in the Chinese economy. The relationship between stock returns and unexpected output growth is significantly positive, but that between stock returns and expected output growth is significantly negative. The relationship between stock prices and inflation is significantly negative, and the inverse relationship disappears after controlling for the effects of output growth. This result is consistent with Fama's conjecture.
ASJC Scopus subject areas
- Economics and Econometrics