股票市场和房地产市场互动关系研究

发布时间：2018-02-12 21:42

本文关键词： 股票市场房地产市场 VAR　出处：《湘潭大学》2014年硕士论文　论文类型：学位论文

【摘要】：自改革开放以来，中国股票市场和房地产市场逐渐发展壮大，成为投资者最重要的两种投资手段，同时也成为资本市场的主要风险积累场所。多次历史事件印证股票市场和房地产市场形成的多重利益链会使原本脆弱的金融环境进一步恶化。因此把握好股票市场和房地产市场运行的关系，对于实现两个市场可持续发展和金融体系稳定运行具有重要意义。通过对股票市场和房地产市场关联效应的分析，不仅能为我国居民投资决策提供支持，而且对国家进行宏观调控以及完善金融市场监管机制具有参考价值。本文通过对股票市场、房地产市场和外汇市场相互关系的研究，探讨以外汇市场为媒介我国股票市场与房地产市场联动关系的特征，分析三者之间相互作用的机理。首先对股票市场和房地产市场相关性的一般理论进行阐述，并分析两者相互影响的传导机制，随后指出外汇将以媒介的方式通过贸易余额、国际资本、货币供应和心理预期等方式影响股票市场和房地产市场之间的联动关系。然后运用计量经济模型，本文选取2005年至2013年上证综合指数、上证国房景气指数和美元汇率期均价进行研究。本文首先应用ADF方法检验各变量的平稳性，检验结果表明三个变量在时期内的时间序列数据均为一阶单整；再运用VAR模型和Johansen协整方法考察以外汇为媒介的上证指数和房地产市场国房景气指数的长期相关性，在此基础上，，利用Granger因果检验验证三者的因果关系。实证分析的结果表明：我国股票市场和房地产市场存在长期互动关系，并且这种相关性随着外汇环境的变化而改变。受到股市的财富效应的引导，上证指数的上涨能够推动房地产市场的发展；但是房地产市场所造成的财富效应作用并非特别突出，其市场内的变动对于股票价格的上升存在负向影响。不仅如此，人民币持续升值或者升值预期会进一步推动股票市场和房地产市场的发展；当股票市场或者房地产市场受到冲击时，海外短期资本的流失也将加速两个市场的衰落。最后本文根据不同时期国家的政策进行两个阶段实证研究，发现经济背景和政策制度对股票市场和房地产市场的联动作用会产生影响，在一定程度上解释了之前国内学者研究结果不一的现象。
[Abstract]:Since the reform and opening up, China's stock market and real estate market have gradually developed and grown, becoming the two most important investment means for investors. At the same time, it has also become the main place of risk accumulation in the capital market. Many historical events have proved that the multiple profit chains formed by the stock market and the real estate market will further worsen the fragile financial environment. Therefore, grasp the stock market well. The relationship between the market and the operation of the real estate market, It is of great significance to realize the sustainable development of the two markets and the stable operation of the financial system. Through the analysis of the related effects of the stock market and the real estate market, it can not only provide support for the investment decision of the residents in our country, Moreover, it has reference value for the country to carry out macro-control and perfect the supervision mechanism of financial market. Based on the study of the relationship among stock market, real estate market and foreign exchange market, this paper discusses the characteristics of the linkage between stock market and real estate market in China, which is mediated by foreign exchange market. This paper analyzes the mechanism of the interaction between the three. Firstly, it expounds the general theory of the correlation between the stock market and the real estate market, and analyzes the transmission mechanism of their mutual influence, and then points out that foreign exchange will pass through the trade balance through the medium. International capital, money supply and psychological expectation influence the linkage between stock market and real estate market. Then using econometric model, this paper selects Shanghai Composite Index from 2005 to 2013. Firstly, the ADF method is used to test the stability of each variable. The results show that the time series data of the three variables in the period are all one-order and single-integer. Then using VAR model and Johansen cointegration method to investigate the long-term correlation between Shanghai stock index and real estate housing boom index using foreign exchange as the medium. On this basis, Granger causality test is used to verify their causality. The results of empirical analysis show that there is a long-term interaction between the stock market and the real estate market in China, and this correlation changes with the change of the foreign exchange environment, which is guided by the wealth effect of the stock market. The rise in the Shanghai stock index can promote the development of the real estate market; however, the wealth effect caused by the real estate market is not particularly prominent, and changes in the market have a negative impact on the rise in stock prices. The continued appreciation or appreciation of the RMB is expected to further promote the development of the stock market and the real estate market; when the stock market or real estate market is hit, The loss of overseas short-term capital will also accelerate the decline of the two markets. It is found that the economic background and policy system will have an impact on the linkage between the stock market and the real estate market, which to some extent explains the different results of previous studies by domestic scholars.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F299.23;F224

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