中国房地产市场与股票市场的互动关系研究

发布时间：2018-01-29 17:35

本文关键词： 房地产市场股票市场 VAR模型　出处：《山东大学》2012年硕士论文　论文类型：学位论文

【摘要】：改革开放以来,中国房地产市场和股票市场逐渐形成并迅速壮大。经过十多年的迅速发展,中国股票市场的总市值已跃居世界第三位。房地产业也已经成为国民经济的命脉。房地产市场和股票市场成为资本市场的主要风险积累市场,房地产和股票也成为投资者的最重要的两种投资对象。因此研究房地产市场和股票市场的互动关系,把握两者之中谁占有主导地位对促进国民经济健康发展以及投资者的理性投资具有重要意义。本文对房地产市场和股票市场互动关系的传导机制做了深入的理论分析,房地产市场和股票市场通过信贷扩张效应、财富效应呈现一定的正向互动关系,同时宏观经济的传导效应一定程度上促进了房地产市场与股票市场的相互作用程度。房地产市场和股票市场在投资组合效应的影响下,存在负向的互动关系。但是最终两者之间的互动关系还要根据实际情况来分析。本文选取了具有代表性的两个国家美国和日本,对国外房地产市场和股票市场的互动关系进行了经验分析,从而为我国房地产市场和股票市场的健康有序发展提供了有益的借鉴。通过建立VAR模型,运用协整检验、Granger因果关系检验及脉冲响应函数等实证方法对中国房地产市场与股票市场的互动关系进行了实证分析。由实证结果可知,中国房地产市场与股票市场在不同的时期存在不同的互动关系。1998-2005年,中国房地产市场和股票市场是负向相关关系,房地产市场在两者之间的互动关系中处于主导地位。2006-2008年,中国房地产市场和股票市场呈现正向相关关系,而股票市场在两者之间的互动关系中处于主导地位。2009-2011年,中国房地产市场与股票市场相互影响、相互作用,呈现正向的相关关系。中国房地产市场与股票市场的互动关系具有自身的特性。宏观经济及宏观经济政策对房地产市场及股票市场的发展产生重要的影响,同时房地产业已成为拉动GDP的一个重要增长点,股票市场作为国民经济的晴雨表作用越来越明显。目前,我国房地产市场和股票市场联系越来越密切,两者之间相互影响、相互作用,呈现正向的互动关系。因此,国家在进行宏观调控时,应统筹协调两个市场,拓展投资与融资渠道,投资者应该理性进行投资组合。
[Abstract]:Since the reform and opening up, China's real estate market and stock market has gradually formed and expanded rapidly. After more than 10 years of rapid development. China's total stock market market value has leapt to the third place in the world. The real estate industry has also become the lifeblood of the national economy. The real estate market and the stock market have become the main risk accumulation market of the capital market. Real estate and stocks are also the two most important investment objects for investors. Therefore, the interaction between real estate market and stock market is studied. It is of great significance to grasp the dominant position of the two to promote the healthy development of the national economy and the rational investment of investors. This paper makes a deep theoretical analysis on the transmission mechanism of the interaction between the real estate market and the stock market. The real estate market and the stock market show a certain positive interaction through the credit expansion effect and the wealth effect. At the same time, the transmission effect of macro economy promotes the interaction between real estate market and stock market to some extent, and the real estate market and stock market are influenced by portfolio effect. There is a negative interaction. But the final interaction between the two should be analyzed according to the actual situation. This paper selected two representative countries, the United States and Japan. The interaction between foreign real estate market and stock market is analyzed empirically, which provides a useful reference for the healthy and orderly development of China's real estate market and stock market. By establishing VAR model, cointegration test is used. Granger causality test and impulse response function are used to analyze the interaction between Chinese real estate market and stock market. China's real estate market and stock market in different periods of different interaction. 1998-2005, China's real estate market and the stock market is a negative correlation. Real estate market in the interaction between the two in the dominant position. 2006-2008, China's real estate market and the stock market show a positive correlation. The stock market is dominant in the interaction between the two. In 2009-2011, the real estate market and the stock market in China interact and interact, showing a positive correlation. The interactive relationship between Chinese real estate market and stock market has its own characteristics. Macroeconomic and macroeconomic policies have an important impact on the development of real estate market and stock market. At the same time, the real estate industry has become an important growth point of GDP, the stock market as a barometer of the national economy is becoming more and more obvious. At present, the real estate market and the stock market are more and more closely linked. Therefore, the state should coordinate the two markets in order to expand the channels of investment and financing. Investors should be rational in their portfolios.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F293.3;F832.51;F224

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