房地产市场与股票市场的因果关系分析
发布时间：2018-11-24 20:30
【摘要】：房地产市场和股票市场在我国的经济和金融发展中都具有关键性的作用,都是重要的投资市场,二者在一定程度上具有某种关联性。本文通过运用ADF检验得出二者均为一阶单整平稳序列的结论,在此基础上对二者进行Engle—Granger协整检验,表明二者具有协整关系。然后通过Granger因果检验,得出国房景气指数是上证综指的格兰杰原因,而上证综指不是国房景气指数的格兰杰原因的结论,并结合实际经济生活对此结论进行理论分析。
[Abstract]:The real estate market and the stock market both play a key role in the economic and financial development of our country. Both are important investment markets. To some extent, they are related to each other. In this paper, we draw the conclusion that both of them are first-order monolithic stationary sequences by using ADF test. On the basis of this, we use Engle-Granger cointegration test for both of them, which shows that they have cointegration relationship. Then through the Granger causality test, we draw the conclusion that the national housing boom index is the Granger cause of the Shanghai Composite Index, while the Shanghai Composite Index is not the Granger cause of the National Housing Prosperity Index, and carries on the theoretical analysis to this conclusion combined with the actual economic life.
【作者单位】： 中央民族大学经济学院金融系;
【分类号】：F299.23;F832.51
[Abstract]:The real estate market and the stock market both play a key role in the economic and financial development of our country. Both are important investment markets. To some extent, they are related to each other. In this paper, we draw the conclusion that both of them are first-order monolithic stationary sequences by using ADF test. On the basis of this, we use Engle-Granger cointegration test for both of them, which shows that they have cointegration relationship. Then through the Granger causality test, we draw the conclusion that the national housing boom index is the Granger cause of the Shanghai Composite Index, while the Shanghai Composite Index is not the Granger cause of the National Housing Prosperity Index, and carries on the theoretical analysis to this conclusion combined with the actual economic life.
【作者单位】： 中央民族大学经济学院金融系;
【分类号】：F299.23;F832.51
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