股票市场与房地产市场关联性研究

发布时间：2018-03-03 23:37

本文选题：房地产市场　切入点：股票市场　出处：《安徽财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：自1998年,我国的房地产市场逐步开始进入市场化,且国家开始大力开发住房金融,我国的住房消费者以及投资者都密切关注着我国的房地产市场的变化,此时,我国消费需求量在住房方面得到了扩增,同时房地产市场规模开始激增,房地产市场逐步迈入快速的增长时期,因此在投资市场中房地产投资的地位也逐渐提高。在股票市场方面,近年来,对比于近年实体经济的迅猛增幅,股票市场却始终处于震荡波动中,与实体经济的繁荣显现出了较大的背离情形。我们可以看出房地产市场以及股票市场的发展对整体金融环境的发展方向有着重要的影响,因此保证股票市场与房地产市场的健康发展,对于整体经济环境来说都是非常重要的。近年来,国内外学者对股票市场与房地产市场之间关系进行了深入的研究,无论数据来源于哪一国的两市场,其实证结果都表明两市场之间存在着重要的联系。但在我国国内的股票市场与房地产市场的研究中,对于两者的关系有着不同的意见与结论。本文基于各种理论及实证研究,选取我国2005年至2016年的月度数据对股票市场与房地产市场之间的关联性波动进行研究,并根据最终实证结果作出相应的结论与建议。本文将分为以下几个部分对股市与楼市的关联性进行分析,内容从理论到实证,紧密联系,具体如下:首先介绍本文的研究背景以及选题意义,股票市场与房地产市场作为我国虚拟经济与实体经济的代表市场,研究其内在关系,对于政府政策的制定、投资者投资决策的选择都是非常重要的。其次是针对国内外有关股市和房市内在关系研究的论文进行介绍。发现关于两市场的关系的研究的结论并不完全相同,因此本文对相关文献进行简单的分类介绍。随后是,股票市场与房地产市场关系的理论研究。本文对房地产市场以及股票市场的相关概念进行阐述,同时对两市场的传导机制等进行分析。接着是股票市场与房地产市场关联性波动的实证分析。在这一部分中,本文选取了上证综指和深证成指作为股票市场的代表,而同时选取国房景气指数以及商品房销售单价作为房地产市场价格变动的代表。分析方法中用到了描述性统计、单位根检验、协整检验、Granger因果检验、VAR模型、脉冲响应函数等。得出了股票市场是房地产市场的单向Granger原因,同时根据脉冲响应函数的结果,得出股票市场与房地产市场价格正相关。然后将2005-2016年的月度数据分阶段进行实证分析,并得出相应结论。最后是结论与建议。针对实证结果得出股票市场与房地产市场的相关性的结论,同时针对我国股市和楼市的发展现状给出相应的建议。
[Abstract]:Since 1998, China's real estate market has gradually entered the market, and the country began to vigorously develop housing finance, our housing consumers and investors are closely watching the changes in our real estate market, at this time, China's consumer demand has been expanded in terms of housing. At the same time, the scale of the real estate market has begun to surge, and the real estate market has gradually entered a period of rapid growth. Therefore, the position of real estate investment in the investment market has gradually increased. In the stock market, in recent years, compared with the rapid growth of the real economy in recent years, the stock market has been in a volatile state. We can see that the development of the real estate market and the stock market has an important impact on the development direction of the overall financial environment. Therefore, to ensure the healthy development of the stock market and the real estate market is very important to the overall economic environment. In recent years, scholars at home and abroad have carried out in-depth research on the relationship between the stock market and the real estate market. No matter where the data come from, the empirical results show that there is an important connection between the two markets. However, in the research of stock market and real estate market in China, There are different opinions and conclusions on the relationship between the two. Based on various theoretical and empirical studies, this paper selects monthly data from 2005 to 2016 to study the correlation volatility between the stock market and the real estate market. And according to the final empirical results to make the corresponding conclusions and recommendations. This paper will be divided into the following parts of the stock market and the property market relevance analysis, content from theory to empirical, closely linked, The main contents are as follows: firstly, this paper introduces the research background and the significance of the topic, the stock market and the real estate market as the representative market of the virtual economy and the real economy of our country, studies its internal relations, and makes the government policy. The choice of investors' investment decision is very important. Secondly, the paper about the internal relationship between stock market and housing market is introduced at home and abroad. It is found that the conclusion of the research on the relationship between the two markets is not exactly the same. Therefore, this paper makes a simple classification of the relevant literature. Then, the relationship between the stock market and the real estate market is theoretically studied. This paper expounds the related concepts of the real estate market and the stock market. At the same time, the transmission mechanism of the two markets is analyzed. Then there is an empirical analysis of the volatility between the stock market and the real estate market. In this part, the Shanghai Composite Index and the Shenzhen Composite Index are selected as the representatives of the stock market. At the same time, the national housing boom index and the unit price of commercial housing sales are selected as the representative of the real estate market price change. The analysis method uses descriptive statistics, unit root test, cointegration test, Granger causality test and VAR model. Pulse response function and so on. The reason that stock market is unidirectional Granger of real estate market is obtained, and according to the result of impulse response function, It is concluded that the stock market is positively correlated with the real estate market price. Then the monthly data from 2005 to 2016 are analyzed empirically. Finally, the conclusions and suggestions are given. Based on the empirical results, the correlation between the stock market and the real estate market is concluded. At the same time, the corresponding suggestions are given for the development of the stock market and the real estate market in China.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F299.23

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