中国房地产市场和股票市场间的相关性研究

发布时间：2018-05-11 11:15

本文选题：相关性 + 尾部相关性　；参考：《华中科技大学》2013年硕士论文

【摘要】：金融市场间的相关性分析是金融研究领域一个热门课题，投资组合的选择、资产定价、风险度量等问题都涉及到相关性分析。随着全球经济的进一步发展，金融市场的进一步完善，房地产和股票已经成为投资市场上最主要的两种投资产品。研究房地产市场和股票市场间的相互关系，对投资者优化配置资产组合，政府制定宏观调控政策，国民经济的健康发展都有着十分重要的指导意义。为此，，本文将从理论分析和实证研究两个方面研究中国的房地产市场和股票市场间的相关性。本文首先从经济学理论出发分析房地产市场和股票市场间的相关关系，然后运用传统金融计量经济学相关性分析法对我国房地产市场和股票市场间的相关关系进行实证研究。针对线性相关系数和传统计量经济学相关性分析方法的不足，本文还引入了copula函数研究两个市场间的相关程度和尾部相关性，从而全方位的揭示两个市场间的相互关系。最后根据理论分析和实证检验的结果，解释我国房地产市场和股票市场间的相关关系的原因，并提出有效控制房地产市场和股票市场等具体政策建议。传统计量经济学相关性分析法中的Johansen协整检验的检验结果显示中国房地产市场和股票市场存在长期的协整关系，格兰杰（Granger）因果检验的结果表明中国房地产市场和股票市场表现出单向的线性格兰杰因果关系，股票市场在两者的相互关系中占主导，脉冲响应函数分析的结果表明两个市场间的存在正相关性，此外，copula相关性分析得出两个市场间存对称的尾部相关关系，表明正的极值和负的极值对两个市场间的相互关系影响是一致的，次贷危机会影响中国房地产市场和股票市场间的相关性。这些结果对投资者配置投资组合和政府宏观政策的制定有着十分重要的指导意义。
[Abstract]:Correlation analysis among financial markets is a hot topic in the field of financial research. The selection of portfolio, asset pricing, risk measurement and so on are all related to correlation analysis. With the further development of the global economy and the further improvement of the financial market, real estate and stocks have become the two most important investment products in the investment market. The study of the relationship between the real estate market and the stock market is of great significance for the investors to optimize the allocation of assets, the government to formulate macro-control policies, and the healthy development of the national economy. Therefore, this paper will study the correlation between China's real estate market and stock market from two aspects: theoretical analysis and empirical research. This paper first analyzes the correlation between real estate market and stock market from the economic theory, then makes an empirical study on the correlation between real estate market and stock market by using the traditional financial econometrics correlation analysis method. Aiming at the deficiency of the linear correlation coefficient and the traditional econometrics correlation analysis method, this paper also introduces the copula function to study the correlation degree and the tail correlation between the two markets, so as to reveal the relationship between the two markets in all directions. Finally, according to the results of theoretical analysis and empirical test, this paper explains the reasons of the correlation between the real estate market and the stock market, and puts forward some specific policy suggestions such as effective control of the real estate market and the stock market. The results of Johansen cointegration test in the traditional econometrics correlation analysis show that there is a long-term cointegration relationship between Chinese real estate market and stock market. The results of Granger causality test show that there is a one-way linear Granger causality between Chinese real estate market and stock market, and the stock market dominates the relationship between them. The results of impulse response function analysis show that there is a positive correlation between the two markets. In addition, the copula correlation analysis shows that there is a symmetrical tail correlation between the two markets. The results show that the positive extremum and negative extremum have the same influence on the relationship between the two markets, and the subprime mortgage crisis will affect the correlation between the Chinese real estate market and the stock market. These results are of great significance to investor portfolio allocation and government macro-policy formulation.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F299.23;F832.51

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