国家宏观调控对房地产板块长期记忆性的影响

发布时间：2018-02-16 09:55

本文关键词： 房地产调控有效性长期记忆性修正R/S分析 GPH谱回归分析　出处：《西南政法大学》2014年硕士论文　论文类型：学位论文

【摘要】：股票市场是国民经济发展的晴雨表，其能否有效发展取决于我国推行的调控政策的正确与否。我国宏观经济调控政策的制定与实施，，时时牵动着市场的神经，因此，股票市场作为经济运行的先行者，总是最先反映着政策干预对市场的作用。同时，研究股票市场在宏观经济政策实施之后的基本特征，不仅为该政策推行后的市场效果提供了直观材料，也为该政策之后进一步微调提供了有力的市场依据。为应对2008年的金融危机，防止经济的进一步下滑，我国政府于2008年11月推出了促进经济发展的四万亿投资计划。实际市场结果显示，该投资计划不但有效防止了我国与世界经济的同步下滑，更促进了我国经济的进一步发展，但同时也造成一定的不良影响。经济发展伴随着的是我国房地产市场价格的持续走高，因而为了防止房地产价格泡沫的出现，政府于2010年4月推出了被称为史上最严厉的房地产调控政策——“新国十条”，用以规范市场并促进其有效发展。而对于该政策是否能够促进市场的有效性，还存在一定的争论，本文从股票市场的角度出发，通过金融时间序列理论模型（修正R/S分析和GPH谱回归分析）检验我国房地产调控政策实施前后股市房地产板块的收益率序列、波动序列是否具有长期记忆性，进而对该调控政策实施的恰当与否进行实证分析。研究结果表明，我国房地产调控政策降低了股市地产板块的长期记忆性，增强了该类股票市场的有效性。研究主要分为以下几个步骤：首先，介绍政府干预与市场效率之间的关系，同时回顾对我国房地产调控政策是否有效的研究进展，引出本文的现实意义；其次，阐述市场有效性理论的发展以及其与长期记忆之间的关系，描述检验金融时间序列长期记忆性的理论模型及其主要统计特征；而后，通过应用理论模型，对我国房地产调控政策出台前后的收益率时间序列进行实证检验，详细讨论该政策出台前后的地产指数长期记忆性的存在与否或变化情况；最后，得出本文的研究结论，对我国房地产调控政策能否促进市场的有效发展进行说明。
[Abstract]:The stock market is a barometer of the development of national economy, and its effective development depends on the correctness or not of the adjustment and control policies pursued by our country. The formulation and implementation of macroeconomic control policies in our country always affect the nerves of the market, so, As the forerunner of economic operation, the stock market always reflects the effect of policy intervention on the market first. At the same time, it studies the basic characteristics of the stock market after the implementation of macroeconomic policy. It not only provides the intuitionistic material for the market effect after the policy is carried out, but also provides a powerful market basis for further fine-tuning after the policy. In response to the 2008 financial crisis and to prevent further economic decline, the Chinese government launched a 4 tillion investment plan to promote economic development on November 2008. The actual market results show that. The investment plan has not only effectively prevented China from falling in step with the world economy, but also promoted the further development of our economy. But at the same time, it also causes some adverse effects. Economic development is accompanied by a sustained rise in the prices of the real estate market in China, so in order to prevent the emergence of real estate price bubbles, In April 2010, the government launched what is known as the most severe real estate regulation policy in history, "New country Ten" to regulate the market and promote its effective development. However, there is still some debate about whether the policy can promote the effectiveness of the market. From the point of view of stock market, this paper tests the stock market real estate return series before and after the implementation of real estate regulation policy through the financial time series theory model (modified R / S analysis and GPH spectral regression analysis). The results show that the real estate regulation policy reduces the long-term memory of the real estate sector of the stock market. Enhanced the effectiveness of this kind of stock market. The research is divided into the following steps: first, introduce the relationship between government intervention and market efficiency, at the same time review the research progress on the effectiveness of real estate regulation and control policies in China, leading to the practical significance of this paper; secondly, This paper expounds the development of market efficiency theory and its relationship with long-term memory, describes the theoretical model and its main statistical characteristics for testing the long-term memory of financial time series, and then applies the theoretical model. This paper empirically tests the time series of the return rate before and after the introduction of the real estate regulation policy in China, and discusses in detail the existence or change of the long-term memory of the real estate index before and after the introduction of the policy. Finally, the conclusion of this paper is drawn. Whether the real estate regulation policy in China can promote the effective development of the market.
【学位授予单位】：西南政法大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F123.16;F832.51

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