“新国十条”后上证指数与金融、地产板块指数间关系的研究

发布时间：2018-01-06 16:28

本文关键词：“新国十条”后上证指数与金融、地产板块指数间关系的研究　出处：《华侨大学》2013年硕士论文　论文类型：学位论文

【摘要】：长久以来，金融业与房地产业之间天然的紧密关系，在实体经济领域中已然被大量历史经验所证实，但以资本市场的角度对此进行的研究还比较少见。特别是在2010年4月17日施行史上最严厉的房产调控政策“新国十条”之后，我国A股市场中的金融板块和房地产板块指数收益率之间存在怎样的联动关系呢？本文采用申银万国证券编制的金融板块指数和地产板块指数收益率作为金融行业和地产行业在A股市场上行为的反馈，研究了从2010年4月19日以来上证指数、金融板块指数和地产板块指数的变动，特别是上述板块指数之间的联动关系。依据波动溢出和联动效应理论，综合运用协整检验、Granger因果关系检验、多元GARCH（BEKK）模型以及波动溢出和联动效应等方法，对各个板块数间的因果关系、波动溢出效应和联动关系进行了系统研究。通过研究我们得出以下几点主要结论：首先，，从长期来看，上证指数与金融板块、地产板块之间存在某种长期均衡关系，其中部分原因是金融和地产板块在上证指数中所占较大的权重。研究同时还发现，房地产板块指数的收益率对上证指数收益率和金融板块指数收益率均产生一定的影响力，而金融板块指数收益率则基本上受到上证指数和房地产板块指数收益率的影响。本文最突出的结论是：从实证分析的结果来看，上海综合指数和金融行业指数、房地产行业指数之间的收益率存在着相当显著的非线性联动效应和溢出效应。
[Abstract]:For a long time, the natural close relationship between the financial industry and the real estate industry has been proved by a large number of historical experience in the real economy. However, the research on this issue from the perspective of capital market is rare, especially after the implementation of the toughest real estate regulation policy in history in April 17th 2010. What is the linkage between the financial sector and the real estate sector index yield in China's A-share market? In this paper, the financial sector index and real estate sector index yield of Shenyin Wanguo Securities are used as feedback on the behavior of the financial industry and real estate industry in the A-share market. This paper studies the changes of Shanghai Stock Exchange Index, Financial Plate Index and Real Estate Plate Index since April 19th 2010, especially the linkage relationship between the above mentioned plate indices, based on the theory of volatility spillover and linkage effect. By using co-integration test, Granger causality test, multivariate GARCH-BEKK model, volatility spillover and linkage effect, the causality of each plate is discussed. The volatility spillover effect and the linkage relation are studied systematically. Through the study, we draw the following main conclusions: first, from the long-term perspective, there is a long-term equilibrium relationship between the Shanghai Stock Exchange Index and the financial sector, real estate plate. Part of the reason is that the financial and real estate sector in the Shanghai Stock Exchange index account for a large weight. The study also found. The yield of real estate sector index has a certain influence on the return rate of Shanghai stock index and financial plate index. The financial sector index yield is basically affected by the Shanghai stock index and the real estate sector index yield. The most prominent conclusion of this paper is: from the results of empirical analysis, Shanghai composite index and financial industry index. There are significant nonlinear linkage effects and spillover effects among the real estate industry indices.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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