我国房地产市场与股票市场互动关系研究

发布时间：2017-12-31 16:33

本文关键词：我国房地产市场与股票市场互动关系研究　出处：《天津财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：自1998年我国房地产市场改革以来,房地产和股票市场发展迅猛,两个市场吸引了庞大的资金流,房产和股票已成为我国居民最主要的两类投资对象,尤其是房地产行业经过十六年的发展已经成为我国的支柱产业,二者对于中国经济的腾飞做出的巨大贡献是不言而喻的。必须指出的是,虽然两个市场都为中国经济的发展注入了新鲜的血液,但我国房价和股价都不理性,过去的十年房地产一路高歌猛进,房价虚高,而股票市场却表现的大起大落,股价波幅过大,这两个市场已俨然成为我国重要的风险积聚场所,所以在当前我国不断深化经济体制改革和产业结构调整的关键时期,揭示房地产市场和股票市场的内在联系,对于投资者优化投资组合以及政府制定宏观调整政策具有重要的学术意义和实际意义。论文回顾了我国房市和股市的发展历程,从四个角度(资产组合理论、财富效应、信贷作用和宏观经济因素)深入阐述了两个市场互动关系的作用机理,在构建向量自回归模型的基础上,采用协整检验法、格兰杰因果关系检验法和脉冲响应分析法分三个阶段对中国的房市和股市间的互动关系进行实证探究,最终得出以下结论,1999-2005年间股市和房市呈现弱的负相关性,并且此阶段房市占据主导地位；2006-2009年间股市和房市呈现出较显著的正相关性,此时股市占据主导地位；2010-2013年间股市和房市的作用关系较为复杂,实证检验结果不显著。实证章节最后一部分详细阐明、解释了三个阶段出现不同互动关系的原因,并且就协调发展我国房地产市场和股票市场提出了一些建设性的政策建议。
[Abstract]:Since the real estate market reform in 1998, the real estate and stock market has developed rapidly, the two markets have attracted huge capital flow, real estate and stock has become the most important two types of investment objects of Chinese residents. In particular, the real estate industry has become the pillar industry of our country after 16 years of development, both of which have made great contribution to the rapid development of China's economy is self-evident. It must be pointed out. Although both markets have injected fresh blood into the development of China's economy, China's housing prices and stock prices are irrational, the past decade of real estate has been soaring, real estate prices are high. However, the stock market has shown great ups and downs, the volatility of the stock price is too large, these two markets have become an important place for risk accumulation in China. Therefore, in the key period of deepening the economic system reform and industrial structure adjustment, the paper reveals the internal relationship between the real estate market and the stock market. It is of great academic and practical significance for investors to optimize their portfolios and the government to formulate macro-adjustment policies. This paper reviews the development of China's housing market and stock market from four perspectives (portfolio theory). The mechanism of interaction between the two markets is expounded in depth. Based on the construction of vector autoregressive model, cointegration test method is adopted. Granger causality test and impulse response analysis are divided into three stages to explore the interactive relationship between the housing market and the stock market in China, and finally draw the following conclusions. From 1999 to 2005, the stock market and the housing market showed weak negative correlation, and the housing market dominated in this period; From 2006 to 2009, the stock market and the housing market showed a significant positive correlation, at this time the stock market occupied a dominant position; From 2010 to 2013, the relationship between stock market and housing market is more complex, the empirical test results are not significant. The last part of the empirical chapter explains the three stages of different interaction in detail. And put forward some constructive policy suggestions to coordinate the development of our real estate market and stock market.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F299.23;F832.51

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