股票能否在通胀期间起到保值作用,一直受到学术界和实务界的关注。基于上证综指和上交所编制的五个行业分类指数为对象,运用分位数回归方法对中国股票市场总体以及细分行业市场的股票实际收益率和通胀率之间的关系进行实证研究,结果表明:上证综指实际收益和总体通胀在各个分位点处均呈反向关系并且回归系数显著,意味着中国股票市场总体不存在费雪效应;五个行业分类指数实际收益和总体通胀在各个分位点处也呈反向关系,但在高分位点处的回归系数不显著,意味着在高分位点处费雪效应成立;如果将通胀细分为预期通胀与非预期通胀,则非预期通胀对实际收益的影响比预期通胀对实际收益的影响更明显。 Whether stocks can play a role of hedging during inflation has always been the concern of academics and practitioners. Based on the five industry sub-indices compiled by Shanghai Stock Exchange and Shanghai Stock Exchange, this paper uses the quantile regression method to study the relationship between the actual stock returns and the inflation rate in the Chinese stock market as a whole and in the sub-industry market. The results show that : Shanghai Composite Index real returns and overall inflation at all sub-points are inverse relationship and the regression coefficient is significant, means that the overall stock market in China does not exist Fisher’s effect; the five industry sub-index real returns and overall inflation in each sub- There was also an inverse relationship between loci, but the regression coefficients at the high scores were not significant, implying Fisher’s effect at the high scores; if the inflation was subdivided into expected and unexpected inflation The expected impact of inflation on real yields is more pronounced than expected inflation on real returns.