中国房市与股市关联度研究

发布时间：2018-01-05 20:14

  本文关键词：中国房市与股市关联度研究　出处：《经济理论与经济管理》2010年08期 　论文类型：期刊论文

  更多相关文章： 房地产空间市场 房地产资本市场 关联度

【摘要】：本文从投资回报角度构建了一个房地产空间市场与房地产资本市场关联度的理论模型。该理论模型显示,本期股价与本期房价呈正相关关系,与下期房价呈负相关关系。本文采用系统GMM估计法对深沪两市61家房地产上市公司1996—2007年度的数据进行实证分析,结果发现,房市与股市具有很强关联度,但房市对股市影响大于股市对房市影响。其次,租金变动对房价和股价变动无显著影响。最后,房价波动具有明显序列相关性,而股价波动具有随机游走特征。
[Abstract]:This paper constructs a theoretical model of the real estate market and real estate market space correlation of return from the investment perspective. The model shows that the stock prices are positively correlated with the relationship, has a negative correlation with the price. This paper uses the GMM method to estimate the system data of Shenzhen and Shanghai two 61 City real estate listed companies in 1996, the year 2007 empirical analysis results show that the housing market and the stock market has a strong correlation, but the impact of the housing market on the stock market than the stock market influence to the housing market. Secondly, rent change had no significant effect on prices and price changes. Finally, price fluctuations have a significant correlation, while stock price volatility has a random walk.

【作者单位】： 中国人民大学商学院;北京第二外国语学院国际经济贸易学院;
【基金】：中国人民大学明德学者培育计划项目“开放经济条件下中国房地产市场与金融安全”(10XNJ022)
【分类号】：F293.35;F832.51
【正文快照】： 一、引言自20世纪90年代以来,美国房价不断上升,加之低利率政策,次级债(subprime lending)得到了迅速发展。同时,以次级债为抵押资产的金融创新(例如,CDO,CDS,Synthetic CDOs)也迅速发展起来。次级贷款及其衍生品均未经历完整的经济周期。当经济萧条、房价下降、利率上升同时，

本文编号：1384655