我国股票市场与房地产市场相关性实证研究

发布时间：2018-01-07 14:36

本文关键词：我国股票市场与房地产市场相关性实证研究　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：上世纪90年代初,上海证券交易所和深圳证券交易所分别成立,标志着我国证券市场正式诞生,此后的二十多年间,我国股票市场经历了不断地发展壮大,在金融市场和经济生活中扮演着越来越重要的角色。与此同时,自1998年我国房地产实行市场化以来,房地产市场也获得迅猛发展,兼具商品属性和金融属性,成为拉动我国经济增长的支柱性行业。股票市场和房地产市场在我国经济和金融发展中都起到关键性作用,研究这两个市场之间的互动关系,对我国经济的健康发展具有十分重要的意义。近年来,海外和国内学者相继对股票市场与房地产市场的关系进行了深入探讨和研究,大部分研究结果显示股票市场和房地产市场之间的确具有一定关系,但国内部分学者在以我国为对象进行研究的过程中,对两者的关系提出了不同的意见。因此本文旨在充分吸收借鉴前人研究成果的基础上,对我国股票市场与房地产市场长期及不同阶段内存在的关系进行研究,并依据研究结果给出相应的政策建议。由于向量自回归模型是研究两个相关经济指标及其预测时较容易操作的模型之一,因此学者在研究股票市场和房地产市场关系时,广泛地应用了向量自回归模型。本文在前人理论与实证研究的基础上,结合我国实际经济情况,采用了理论分析与实证模型相结合的方法,对我国股票市场和房地产市场价格之间的关系进行探究,本文主要研究内容如下： (1)对国内外关于股票市场和房地产市场关系的文献进行了研究,对其作用机制、研究方法(角度)等方面进行了系统的总结和归纳。 (2)本文为定量研究股票和房地产价格之间的关系,建立了相应的向量自回归模型。主要采用ADF单位根检验、VAR模型回归分析、脉冲响应函数分析、方差分解、格兰杰因果检验、E-G协整检验等实证方法对我国股票市场和房地产市场价格之间的关联性进行了实证研究。研究发现,在1998-2011年这段时间内,我国股票市场价格是引起房地产市场价格波动的格兰杰原因,两个市场价格存在一定正向关联性。本文基于结构突变模型和经济意义划分了子样本区间,进一步分阶段研究股票市场和房地产市场关系。 (3)文章最后根据我国股票市场和房地产市场之间的实证研究结果,结合日本与美国的国际经验和借鉴,提出了相应的结论和政策建议。
[Abstract]:In -10s, the Shanghai Stock Exchange and the Shenzhen Stock Exchange were established respectively, marking the formal birth of China's securities market. Since then, more than 20 years, China's stock market has experienced continuous development and growth. It plays a more and more important role in the financial market and economic life. At the same time, since 1998, the real estate market has been developing rapidly. With both commodity and financial attributes, it has become a pillar industry to stimulate the economic growth of our country. The stock market and real estate market play a key role in the economic and financial development of our country. It is of great significance to study the interaction between these two markets for the healthy development of our economy. In recent years, overseas and domestic scholars have conducted in-depth research on the relationship between stock market and real estate market. Most of the results show that there is a certain relationship between stock market and real estate market. However, some domestic scholars have put forward different opinions on the relationship between the two in the process of studying our country. Therefore, this paper aims to fully absorb the previous research results on the basis. The relationship between the stock market and the real estate market in China is studied in the long term and in different stages, and the corresponding policy suggestions are given according to the results of the research. Because the vector autoregressive model is one of the models which is easy to operate in the study of two related economic indicators and their prediction, scholars are studying the relationship between the stock market and the real estate market. Vector autoregressive model is widely used in this paper. Based on the previous theoretical and empirical research, combined with the actual economic situation in China, this paper adopts the combination of theoretical analysis and empirical model. This paper explores the relationship between stock market and real estate market price in China. The main contents of this paper are as follows: 1) this paper studies the relationship between stock market and real estate market at home and abroad, and summarizes its mechanism, research methods (angles) and so on. In order to quantitatively study the relationship between stock price and real estate price, this paper establishes the corresponding vector autoregressive model, mainly using ADF unit root test / VAR model regression analysis. Impulse response function analysis, variance decomposition, Granger causality test and E-G cointegration test are used to study the relationship between stock market and real estate market price. During the period of 1998-2011, the price of Chinese stock market is the Granger cause of the fluctuation of the real estate market price. There is a positive correlation between the two market prices. Based on the structural catastrophe model and the economic significance, this paper divides the sub-sample interval, and further studies the relationship between the stock market and the real estate market in stages. Finally, according to the empirical research results between China's stock market and real estate market, combined with the international experience and reference of Japan and the United States, the paper puts forward the corresponding conclusions and policy recommendations.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51;F293.3

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