中国股票市场与房地产市场收益率相关性的实证研究

发布时间：2018-03-09 09:38

本文选题：股票市场　切入点：房地产市场　出处：《东北财经大学》2016年硕士论文　论文类型：学位论文

【摘要】：在全球一体化进程不断加快的时代背景下,全球金融市场关系越来越紧密,因此许多学者开始研究金融市场之间的波动相关性。股票市场和房地产市场作为我国主要的资本市场,自建立以来,取得了非常大的进步,但是在发展的过程中股票市场和房地产市场都暴露出了发展的弊端,如波动幅度比较大,价格波动也比较频繁,而且波动不是相互独立的,具有某种关联性。房地产具有消费属性,现已逐渐具有投资属性,房产和股票已成为人们主要关注的投资工具,股价的涨跌和房价的变动都会改变居民的财富存量,从而改变居民的收入分配、消费决策,进而影响整个经济社会的资源配置和供需平衡。而且我们发现在两个市场价格波动中,两者在不同时间段呈现出不同的动态关系,这种动态相关性在一定程度上反映了人们在消费与投资上的心理变化以及政策在其中发挥的作用。因此揭示两个市场收益率在不同宏观经济条件下的相关性,不仅可以促进中国票市场和房地产市场的进一步发展和完善,而且可以给宏观经济政策实施者以及广大投资者一些有意义的参考。近年来,国内外学者对股市和房市的相关关系进行了较多的实证研究,但二者到底呈现什么关系,却是众说纷纭。基于国内外相关文献的研究,了解国内外的研究视角和研究方法,本文以金融危机为界限划分为两个样本区间,在考虑传统计量方法的基础上,引入波动溢出效应模型VAR-GARCH-BEKK和动态相关性模型DCC-GARCH模型,进一步分析股市和房市的波动溢出效应和动态相关性,用Matlab和Eviews参数估计,全面的掌握股市和房市的内在互联关系。本文根据我国股市和房市的特点,结合理论分析和实证分析,对我国股市收益率和房市收益率之间的关系进行分析研究。首先,从微观和宏观两个角度在理论上分析我国股市与房市的互动关系,然后采用ADF单位根检验、VAR模型、脉冲响应函数分析、格兰杰因果检验、VAR-GARCH-BEKK波动溢出效应检验以及DCC-GARCH动态分析等计量方法对股市和房市收益率之间的波动相关性做实证研究。根据实证结果得出,股市价格和房市价格的波动都受前期波动的影响,而且波动都存在明显的聚集性,2005-2015年这段时间里,房市与股市之间具有显著的单向波动传递效应,股市的价格变动会传递到房市;两个市场收益率的相关系数是变化的,整体上具有正的相关性;股价变化是房价变化的格兰杰原因。金融危机前后股市和房市的收益率呈现出不同的关系。总体上,在两个市场的互联关系中,几乎是股市具有主导作用。文章最后对不同阶段出现不同相关关系进行详细分析,并提出可实施的政策建议。
[Abstract]:In the context of the accelerating process of global integration, the global financial markets are becoming more and more closely related. Therefore, many scholars have begun to study the volatility correlation between financial markets. As the main capital market in China, stock market and real estate market have made great progress since their establishment. However, in the process of development, both the stock market and the real estate market have exposed the disadvantages of development. For example, the volatility is relatively large, the price fluctuates more frequently, and the fluctuations are not independent of each other. There is a certain correlation. Real estate has the property of consumption, now gradually has the attribute of investment, the real estate and the stock have become the main investment tool that people pay attention to, the rise and fall of the stock price and the change of the house price will change the wealth stock of the resident. Thus changing residents' income distribution and consumption decisions, thus affecting the allocation of resources and the balance of supply and demand of the whole economy and society. Moreover, we find that in the two market price fluctuations, there are different dynamic relationships between the two in different time periods. This dynamic correlation reflects, to some extent, the psychological changes in consumption and investment and the role of policy in it. It can not only promote the further development and improvement of China's ticket market and real estate market, but also provide some meaningful references for macroeconomic policy implementers and investors. Scholars at home and abroad have carried out more empirical research on the relationship between stock market and housing market, but there are different opinions on what the relationship between them is. Based on the research of relevant literature at home and abroad, we can understand the research perspective and research methods at home and abroad. In this paper, the financial crisis is divided into two sample intervals. The volatility spillover effect model (VAR-GARCH-BEKK) and the dynamic correlation model (DCC-GARCH) are introduced on the basis of the traditional econometric methods. The volatility spillover effect and dynamic correlation of stock market and housing market are further analyzed, and the intrinsic interrelation between stock market and housing market is comprehensively grasped by Matlab and Eviews parameter estimation. According to the characteristics of stock market and housing market in China, Combined with theoretical analysis and empirical analysis, this paper analyzes the relationship between the return rate of stock market and the rate of return of housing market in China. Firstly, it theoretically analyzes the interactive relationship between stock market and housing market from the micro and macro perspectives. Then the ADF unit root test is used to test the VAR model, and the impulse response function is analyzed. Granger causality test VAR-GARCH-BEKK volatility spillover effect test and DCC-GARCH dynamic analysis are used to study the volatility correlation between stock market and housing market. The volatility of stock market price and housing market price is affected by the previous fluctuation, and the volatility has obvious agglomeration during the period 2005-2015, there is a significant one-way volatility transfer effect between the housing market and the stock market. The price change of the stock market will pass to the housing market, the correlation coefficient of the two markets' yield is variable, the whole has the positive correlation; The change of stock price is the Granger reason for the change of house price. Before and after the financial crisis, the yield of stock market and housing market show different relationship. It is almost the stock market that plays a leading role. Finally, the article analyzes the different correlation relations in different stages in detail, and puts forward some policy suggestions that can be implemented.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51;F299.23

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