中国房地产市场与股市互动机制的实证分析

发布时间：2018-01-14 10:23

本文关键词：中国房地产市场与股市互动机制的实证分析　出处：《江西财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：在中国的投资渠道中,房地产市场和股票市场是两个主要的部分,两个市场既有替代性也有相当的关联性,对房价和股价的相关性进行研究,有利于对投资方向的选择、投资者心理的变化做一定了解,从而帮助投资者做出判断和选择。中国近年来,房价的涨势从大城市蔓延到中小城市,由于中国房地产市场对金融体系的依赖程度极高,成为金融业的重点投资对象,房地产周期性的波动的风险高度集中,对国民经济的潜在影响很大,已经影响到居民的日常生活,成为一个国民关注的问题,正确认识房地产价格的波动规律,准确评估房地产市场对宏观经济的影响,有助于对房价的波动趋势做出合理的判断,在各种不同的声音中保持独立的观点。而股票市场是宏观经济的晴雨表,重大消息在股价上的反应都是迅速而猛烈的,股票市场的波动也是有规律可寻的。在股指期货成为稳定的风险管理机制的背景下,股票指数的波动成为众多研究者关心的问题,从股票指数和宏观经济关系的研究,扩展到股票指数和房价的研究,是理所当然的。研究房地产市场和股票市场之间的关联,能对国民经济的整体情况管中窥豹,更早地观察到潜在的不利因素,对可能的经济危机做一个提前的预警。由于经济周期的可观察性,对房地产市场和股票市场的关注能加强对经济危机的敏感度,也能发现很多问题。本文在大量研究和借鉴国内外研究成果的基础上,结合中国的具体情况,对股价指数和房价的情况做了深入分析,研究了我国近年来房价波动与股指波动的互动机制,分析了房地产市场和股票市场的财富效应和投资效应,从房东—租客和开发商—购房者角度分别做出一定分析,并对房价和股价的关系做出实证性的研究。为了使理论和实际更好地结合,本研究对房地产市场和股票市场的现有定价模型做了一个梳理性的工作,提炼总结股票市场和房地产市场的共同影响因素,分析了理性预期和适应性预期在房价上的反映,对房地产价格从开发商和购房者角度以及房东和房客角度分别进行考虑,对股价现有的定价模型做了一个总结和分析,得出初步结论。在本文的实证部分,主要包括对房价和股价的单独分析、房价和股价的VAR和GRANGER分析以及截面和面板数据分析。股价采用4年的沪深300指数,房价和股价的因果关系分析采用了4年的房地产销售价格指数、城市居民消费价格指数、股票市价总值等数据,面板数据选取了房地产价格、房地产投资、房地产销售面积、房地产竣工面积、人均GDP、第三产业生产总值等基础数据,股票市场方面采用了沪深300指数、股票成交金额、股票市场总市值和股票成交量等数据,主要采用EVIEWS软件进行分析。本文的结论认为：房地产市场和股票市场存在一定的关联度,房地产市场和股票市场之间的财富效应较为明显,非理性预期是房价波动的一个主要原因,政府对房地产市场和股票市场的宏观调控应当更加谨慎,考虑到两个市场的关联性,以及房地产市场一旦发生变动对整个国民经济的巨大影响,在政策的制定过程中,参考多方面的意见,考虑到可能的后果, 本文对房地产市场和股票市场的联动效应借鉴和继承了前人的研究成果,也具有一定的创新之处,当然也存在着一些不足之处。在本文的研究中股价指标所采用的指标引入了成交金额和成交量,房价和股价的影响指标引入了汇率,综合从多角度来构建房价和股价的模型,力求达到比较全面的结果。建立房价和股价指标体系所涵盖的指标众多,由于笔者的理论水平与数据搜集能力有限,无法收集到季度和月度的全部数据,只能采用年度数据。本文中的一些研究结果也有待进一步的讨论和验证。
[Abstract]:In the Chinese investment channels, the real estate market and the stock market is the main part of the two, two markets are alternative has considerable relevance, research the correlation between house prices and stock prices, is conducive to the direction of investment choices, investors must understand the psychological changes, so as to help investors make a judgment and choice.
China in recent years, the price rise trend spread from big city to a small city, due to high dependence on the Chinese real estate market in the financial system, has become the focus of investment banking, the risk of real estate periodic fluctuation is highly concentrated, great potential impact on the national economy, has affected the daily life of the residents has become a national concern, a correct understanding of the real estate price fluctuation law, accurate assessment of the real estate market impact on macro economy, contribute to the trend of fluctuation of prices to make reasonable judgments, maintain independent views in a variety of different sounds. While the stock market is a barometer of macro economy, major news in response the stock price is swift and violent, the volatility of the stock market's rules can be found in the stock index futures. A stable risk management mechanism under the background of stock index wave Animals become of concern to many researchers, from the study of stock index and macro economy relation, extended to study the stock index and the stock price, is the association between behoove. The real estate market and the stock market, the overall situation of national economy can see only a small part earlier observed, the potential disadvantage of a early warning of possible economic crisis. Because of the economic cycle can be observed, the real estate market and the stock market's attention can enhance the sensitivity of the economic crisis, can be found a lot of problems.
In this paper a lot of research and reference of the domestic and foreign research results, combined with the specific circumstances of China, made a thorough analysis of the stock price index and price, studies the interaction mechanism of the price fluctuation and the fluctuation of stock index in recent years, the analysis of the real estate market and the stock market wealth effect and investment effect, from the landlord - tenant property buyers and developers are to make some analysis, make empirical research and relationship of housing price and stock price. In order to make a better combination of theory and practice, the existing research on pricing model of the real estate market and the stock market made a carding work, summarizes factors influence stock and real estate market, analyzes the rational expectations and adaptive expectations reflected in the prices, the price of real estate developers and buyers from the angle and the angle of the landlord and the tenant respectively. In consideration, a summary and analysis of the existing pricing model of stock price is made and a preliminary conclusion is drawn.
In the empirical part of this paper, mainly including the separate analysis of the housing price and stock price, analysis of housing price and stock price analysis of VAR and GRANGER and the cross section and panel data. The stock price by 4 years in Shanghai and Shenzhen 300 index, causality analysis price and stock price by 4 years of real estate sales price index, consumer price index of city residents the data, the value of the stock market, select the panel data of the price of real estate, real estate investment, real estate sales, real estate area, GDP per capita, third industry GDP data, the stock market with the CSI 300 index, the stock turnover, the total market value of the stock market and the stock trading volume and other data. Mainly analyzed by EVIEWS software.
The conclusion is that: the real estate market and the stock market has a certain degree of relevance, the wealth effect between real estate market and the stock market is more obvious, non rational expectations is one of the main reasons of price fluctuations, the macro-control of real estate market and the stock market should be more cautious, considering the relevance of the two markets and, once the real estate market changes a great impact on the national economy, in the process of policy-making, refer to various opinions, taking into account the possible consequences,
The linkage effects on the real estate market and the stock market experience and previous studies, but also has a certain innovations, of course, there are also some shortcomings. In this study the stock price index by index introduced turnover and volume, price and stock price impact index introduced exchange rate, comprehensive from the perspective of building price and stock price model, and strive to achieve more comprehensive results. The cover price and stock price index of the system is numerous, because the theoretical level and the data collection ability is limited, unable to collect quarterly and monthly data in all, only using annual data. Some research results of this paper also needs to be further discussion and verification.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F299.23;F832.51;F224

【参考文献】