深港住房价格波动相关性研究

发布时间：2018-04-24 02:41

本文选题：深港 + 房地产价格　；参考：《云南财经大学》2017年硕士论文

【摘要】：本文在对房地产价格相关理论分析的基础上,从波动性(volatility)角度研究了深圳和香港2006年01月至2015年12月期间房价的波动性特征及其两者之间的相关性。本文分析了深圳、香港房价的波动相关性,也分析了造成深圳、香港房价波动之影响因素,运用了EGARCH模型以及BEKK-GARCH模型,得出的主要结论有:2006年01月至2015年12月期间深圳、香港两地房价波动有着与金融市场相似的集聚效应,具体表现为小的波动带来小的波动,而大的波动则意味着更大的波动,这表明在深圳和香港房地产市场上,有着明显的惯性房地产投资,也就是说有非理性投资的可能,所以其房地产价格变动较为明显的受到前期信息因素的影响。为进一步搞清楚深圳以及香港之间房地产价格波动之外溢效应,文章还运用了BEKK-GARCH模型来分析,得出结论:深圳和香港之间同时存在正、负向的波动性外溢效应,房价既互为引导,又互相制衡。一方面香港房价对深圳房价影响较大,香港房价对深圳房价具有较强的带动效应;另一方面,深圳房价波动也会加剧香港房价的变动。从影响因素来看,通货膨胀对深圳和香港的当期房价造成的动态冲击最显著,然后依次为:购房者情绪、房地产投资、汇率、利率,其中利率对两地房地产市场价格的影响不显著。这一方面表明,深圳和香港作为中国东南部沿海重要的金融城市,影响房价变动的因素有其一致性,会相互带动发展,其房价都有局部过热的可能;另一方面,其各自的影响系数又呈现差异,表明作为经济特区的深圳和作为国际化金融大都市的香港,两个城市房价的动态性波动是不完全相同的:a.深圳和香港房价虽都有其长期增长趋势,但从通货膨胀、购房者情绪波动和房地产投资对其的影响可以看出:香港房价较深圳房价具有更强的投机性;b.从汇率对两地房价波动的影响看出:香港房地产市场吸引外资的能力更强,所以香港房价的波动性也更大。本文力图找出影响深圳和香港两地房地产市场的各种要素,探寻引起二地房地产价格波动的真正原因,以期为分析深圳和香港乃至全国房地产市场提供新的思路。在此基础上,本文同时也对深圳、香港两地房价走势进行了预测,可以让政府部门、商业银行、投资者等进一步加深对深圳、香港两个房地产市场的理解。
[Abstract]:Based on the theoretical analysis of real estate prices, this paper studies the volatility characteristics of housing prices in Shenzhen and Hong Kong from January 2006 to December 2015 and their correlation with each other from the perspective of volatility. This paper analyzes the correlation between the fluctuation of housing prices in Shenzhen and Hong Kong, and analyzes the factors that affect the volatility of house prices in Shenzhen and Hong Kong. The main conclusions are as follows: Shenzhen from January 2006 to December 2015, using EGARCH model and BEKK-GARCH model. The volatility of house prices in Hong Kong and Hong Kong has a similar agglomeration effect to that of financial markets, which is manifested in the fact that small fluctuations lead to small fluctuations, while large fluctuations mean greater volatility, which indicates that in Shenzhen and Hong Kong real estate markets, There are obvious inertia real estate investment, that is, irrational investment, so the real estate price change is obviously affected by the information factors. In order to further understand the spillover effect of real estate price volatility between Shenzhen and Hong Kong, the paper also uses BEKK-GARCH model to analyze the spillover effect of volatility between Shenzhen and Hong Kong, and concludes that there are both positive and negative spillover effects of volatility between Shenzhen and Hong Kong. Housing prices are both guidance and checks and balances. On the one hand, housing prices in Hong Kong have a strong impact on housing prices in Shenzhen, which has a strong driving effect; on the other hand, fluctuations in housing prices in Shenzhen will also aggravate the volatility of housing prices in Hong Kong. From the perspective of influencing factors, the dynamic impact of inflation on current housing prices in Shenzhen and Hong Kong is the most significant, followed by: home buyers' sentiment, real estate investment, exchange rate, interest rate. Interest rates on the real estate market prices between the two places are not significantly affected. This shows on the one hand that Shenzhen and Hong Kong are important financial cities along the southeast coast of China, and that the factors affecting the changes in house prices are consistent and will lead each other to develop, with the possibility of partial overheating of housing prices; on the other hand, Their influence coefficients are different, which indicates that the dynamic fluctuation of house prices in Shenzhen, as a special economic zone, and Hong Kong, as an international financial metropolis, is not exactly the same. Although both Shenzhen and Hong Kong house prices have their long-term trend of growth, we can see that Hong Kong house prices are more speculative than Shenzhen house prices, as can be seen from inflation, volatility of home buyers' sentiment and the impact of real estate investment on them. The impact of the exchange rate on house prices in both places shows that the Hong Kong real estate market is more capable of attracting foreign investment, so prices in Hong Kong are also more volatile. This paper tries to find out the factors that affect the real estate market of Shenzhen and Hong Kong, and to find out the real cause of the fluctuation of real estate price in Shenzhen and Hong Kong, so as to provide a new way of thinking for the analysis of real estate market in Shenzhen, Hong Kong and even the whole country. On this basis, this paper also forecasts the trend of housing prices in Shenzhen and Hong Kong, so that government departments, commercial banks and investors can further deepen their understanding of Shenzhen and Hong Kong real estate markets.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F299.23

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