不动产证券化与经济波动——基于跳扩散模型的REITs与股票比较分析

发布时间：2018-02-28 00:46

本文关键词： 跳扩散模型 REITs 普通股票房地产股票 MCMC　出处：《经济管理》2013年04期 　论文类型：期刊论文

【摘要】：2008年爆发的全球经济危机源于美国次级贷款的证券化。REITs(房地产信托投资基金)作为具有衍生性质的资产证券化产品,在何种途径和何种程度上对实体经济产生积极与消极影响,是一个理论上也是实证上的难题,这也是我国当前对REITs规模发展存在观点分歧的根本原因。本文基于马尔科夫链蒙泰卡罗方法(MCMC),运用跳扩散模型,以美国市场自2001年5月14日到2010年5月14日的日度数据为基础,比较分析REITs与普通股票和房地产股票的风险收益特征。实证研究发现:REITs指数比普通股票指数具有更低的风险和更高的收益;对于突发事件和突发信息的反应,REITs较普通股票指数更加敏感,从而REITs具有更多的跳跃次数和更大的跳跃强度。进一步对美国REITs指数和房地产股票指数进行比较研究,发现二者作为资本市场的投资品具有同质性。这些发现对于投资者理性投资,把握实体经济与虚拟经济之间的互动关系具有启示意义。
[Abstract]:The global economic crisis that broke out in 2008 originated from the securitization. REITs (real estate trust investment fund) of the subprime loan of the United States, as a derivative asset securitization product, which ways and to what extent have positive and negative impact on the real economy. It is a theoretical and empirical problem, which is the fundamental reason for the divergence of views on the development of REITs scale in China. This paper uses the jump diffusion model based on Markov chain Monte Carlo method. Based on U.S. daily data from May 14th 2001 to May 14th 2010, The empirical study shows that the REITs index has lower risk and higher return than the ordinary stock index. REITs are more sensitive to emergent events and emergency information than ordinary stock indices, so REITs has more jumping times and greater jumping intensity. Further more, a comparative study of the REITs index and the real estate stock index in the United States is carried out. It is found that both of them are homogeneous as investment products of capital market. These findings have enlightening significance for investors to invest rationally and grasp the interactive relationship between real economy and virtual economy.
【作者单位】：山东大学经济研究院;
【基金】：国家社会科学基金项目“政府竞争、企业并购与产业整合的机制与效应研究”(11BJY148) 山东省自然科学基金“我国企业并购的产业整合机制与效应研究”(2009ZRB02104) 山东大学自主创新基金青年团队项目的阶段性成果“企业并购的决策机制、投融资行为与宏微观效应研究”
【分类号】：F830.91;F224

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