上海证券交易所房地产板块和银行板块联动性实证分析

发布时间：2018-11-10 15:33

【摘要】：房地产业和银行业是推动中国经济发展的两大最重要的支柱行业，这二者之间的关系十分密切。房地产业是资金密集型产业，银行业是其资金的重要来源，伴随着中国房地产业的快速发展，以及中国银行业的改革与发展，房地产业和银行业的关系也日渐紧密。伴随着全球经济一体化的步伐的加快，各国股票市场的不同板块间乃至各国股票市场之间，股票的价格相互影响的程度日渐加剧，而且在一定程度上存在相同的波动趋势，即这些市场和板块间存在着联动效应。所谓股市板块间的联动效应是指在某一时期或者某一特定时间段内，同属于一个股票市场的不同板块的股票价格或者指数所表现出的同涨或者同跌的现象。理论和现实都表明，房地产业和银行业紧密相连。因此，若能掌握这两个板块间的联动效应，既可以及时地根据其中一个板块的涨势确定另一个板块的涨势，增强盈利的能力；同时，也可以及时地发现并防范风险的发生。本文首先对上证房地产板块和银行板块之间的联动性关系进行定量的分析，之后定性地分析二者之间的联动关系。中国A股市场中房地产板块和银行板块之间是否存在联动效应，存在联动效应的情况又如何？针对该问题，本位首先对于联动性理论的研究成果进行阐述，然后对国内外关于银行板块和房地产板块关系的文献和中国上证房地产板块和银行板块的现状进行介绍；选取数据和建立模型，本文选取2009年10月29日至2013年1月15日中国A股市场内地银行指数和内地地产指数的日平均收益率作为研究对象，采用到的计量金融学分析方法包括简单相关性分析、ADF检验、Granger因果检验等。实证检验之后，对中国上证房地产板块和银行板块的联动关系的实证原因进行分析，得出二者确实存在联动关系的结论，，二者互为彼此的格兰杰因，并且房地产板块对于银行板块的影响更为显著，持续的时间也较久。最后是对二板块投资的对策建议。
[Abstract]:Real estate and banking are the two most important pillar industries to promote China's economic development, and the relationship between them is very close. The real estate industry is a capital-intensive industry, and the banking industry is an important source of its funds. With the rapid development of China's real estate industry and the reform and development of China's banking industry, the relationship between the real estate industry and the banking industry is increasingly close. With the acceleration of the pace of global economic integration, the degree of mutual influence of stock prices between different sectors of the stock market and even between the stock markets of various countries is increasing day by day, and to a certain extent, there is the same fluctuating trend. That is, these markets and between the plate there is a linkage effect. The so-called linkage effect between the stock market plates refers to the same rise or fall of the stock price or index of different sectors belonging to the same stock market in a certain period or a certain period of time. Theory and reality show that real estate and banking are closely linked. Therefore, if we can grasp the linkage effect between the two plates, we can determine the rising trend of the other plate according to the rising trend of one plate in time, and enhance the ability of profit, at the same time, we can also detect and prevent the occurrence of risk in time. In this paper, the relationship between Shanghai real estate plate and banking plate is analyzed quantitatively, and then the linkage relationship between them is analyzed qualitatively. Is there a linkage effect between the real estate sector and the banking sector in the A-share market of China, and how about the existence of the linkage effect? In view of this problem, the standard firstly expatiates on the research results of linkage theory, and then introduces the literature about the relationship between bank plate and real estate plate at home and abroad and the current situation of real estate plate and bank plate of Shanghai Stock Exchange of China. From October 29, 2009 to January 15, 2013, the daily average rate of return of the mainland Bank Index and the mainland Real Estate Index of China's A-share market is selected as the research object. The econometric analysis methods used include simple correlation analysis, ADF test, Granger causality test and so on. After the empirical test, this paper analyzes the empirical reasons of the linkage between the real estate plate and the bank plate of Shanghai Stock Exchange of China, and draws the conclusion that there is a linkage relationship between the two, and the two are Grangein of each other. And the impact of the real estate sector on the banking sector is more significant, the duration of a long time. The last part is the countermeasures and suggestions for the second plate investment.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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