房价与股票价格互动关系的实证分析

发布时间：2018-01-03 14:31

本文关键词：房价与股票价格互动关系的实证分析　出处：《重庆大学》2014年硕士论文　论文类型：学位论文

【摘要】：房地产市场与股票市场是居民最主要的投资渠道，，两者在资本市场有着举足轻重的地位。针对近年来高居不下的房价和频繁波动股价的现状，论文选取房地产销售价格指数、上证指数和房地产板块指数三个特征指标，采集我国2008年7月至2014年2月间三个指标的月度数据作为样本数据，挑选时间序列模型对房价进行短期预测；再用多元时间序列中的Johnson协整模型对房地产市场和股票市场的长期关系建立数学模型，并用VAR方法对模型的参数进行估计。根据模型分析房地产市场与股票市场的相互制约关系，且短期互动关系与长期互动关系存在明显的差异，提出相应房价的有效控制措施，规范股票市场，决策明智的投资方案。
[Abstract]:The real estate market and the stock market are the most important investment channels for the residents, they play an important role in the capital market. The paper selects the real estate sale price index, the Shanghai stock index and the real estate plate index three characteristic indexes, collects the monthly data of the three indexes between July 2008 and February 2014 as the sample data. Selecting time series model to forecast house price in the short term; Then the long-term relationship between the real estate market and the stock market is established by using the Johnson cointegration model in the multivariate time series. VAR method is used to estimate the parameters of the model. According to the model, the relationship between the real estate market and the stock market is analyzed, and there are obvious differences between the short-term interaction and the long-term interaction. Put forward the effective control measures of the corresponding housing prices, standardize the stock market, and make a wise investment plan.
【学位授予单位】：重庆大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F299.23;F832.51;F224

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