香港房地产市场与关联市场间的相关性研究

发布时间：2018-02-25 07:05

本文关键词： 香港房地产动态相关性通胀对冲投资组合　出处：《华中科技大学》2013年博士论文　论文类型：学位论文

【摘要】：房地产在经济生活中具有不可替代的作用,其不仅为居民生活等提供必要的场所,同时也是居民整体财富的重要组成部分,且具有较强的投资投机功能。作为连接实体经济和虚拟经济的纽带,房地产市场直接关系着经济的繁荣程度,与国民经济中多个行业都有高度的关联性,和金融行业以及整个金融体系更是具有非常紧密的联系。在这一背景下,研究房地产市场与关联市场间的相关性,不仅具有内在的逻辑支持,而且具有较强的现实意义,一方面有助于市场投资的开展,另一方面有利于监管部门理解市场环境并制定相应的调控策略。由于香港房地产市场具有国际化、金融化等特点,且在香港经济中占据支柱地位,数据也更为齐全,具有较好的研究特性,因此本论文选取其作为主要的考察对象。同时由于香港地区与内地的特殊关系,针对香港房地产市场的研究也会对内地市场的相关研究起到一定的参考和促进作用。全文分四个部分研究了香港房地产与关联市场相关性的四个子项及相应的衍生问题,主要研究内容和创新成果如下：首先,采用DCC-GARCH模型对香港房地产市场与股票市场间的动态相关性以及动态溢出效应进行了刻画与研究。研究发现两个指数回报间的动态相关性程度较低,波动范围仅在6%到13%之间,说明两个市场间具有相对的独立性。与此同时,该动态相关性在样本期内的两次金融危机期间都达到了相对较高的程度。股票市场对房地产市场具有较高程度的动态溢出效应,该溢出效应在2008年末金融危机环境下达到最大,这也进一步验证了特殊情况下金融资产间作用加强的说法,而房地产市场对股票市场则不存在显著的溢出效应。其次,引入有能力刻画外部因素对动态相关性产生影响的DSTCC-GARCH模型,结合VAR模型,研究了香港四个地区房地产市场之间的动态相关关系。研究发现银行最优惠贷款利率和滞后的恒生指数年回报两个外部因素对这些动态相关性表现出较为显著的影响。港岛与九龙、新界西之间的相关程度较高,九龙与新界东、新界西之间的相关性程度较低,港岛与新界东之间的动态相关性呈现出一个与其他五组动态相关性都不同的缓慢向上的趋势。此外,六组动态相关性均在两次金融危机前后呈现出局部的高点。再次,通过将香港房地产细分为五类不同面积的住宅,将香港通胀率细分为综合通胀率和三种针对不同消费水平家庭的通胀率,更具针对性的研究了长期均衡模型和短期误差修正模型下住宅房地产对冲预期通胀和非预期通胀的能力,从一个重要侧面反映了房地产与商品、劳务、消费等市场间的关系。研究发现各类住宅对各类通胀的非预期成分都具有较强的长期和短期对冲能力。长期而言,各类住宅针对各类通胀的预期成分都有一定的对冲能力,小面积住宅能力稍强。短期来看,对于消费层次较低的居民各种面积的住宅均具备一定的预期通胀对冲能力,中层消费民众的对冲结果则与整体情况类似,由70平米到99.9平米的住宅提供最佳的预期通胀对冲,对于高消费人群仅面积较大的住宅可以提供一定的预期通胀对冲。最后,选取恒生房地产基金指数、恒生公共事业指数和Hibor隔夜利率的日度数据来分别描述香港地区房地产证券资产、股票资产和无风险资产的走势情况,采用DCC-GARCH模型得到三种资产间动态相关性,然后结合投资组合理论给出了逐日调整的最优动态投资组合。研究发现三种资产的配比具有时变特性,不过相对而言较为稳定,其中房地产基金指数在整个投资组合中始终占比最大。动态配置中极值的出现时间非常接近房地产基金指数回报与公共事业指数回报间动态相关性的极值出现时间,说明这两个指数回报间的动态相关性在配置动态最优投资组合时影响最大。
[Abstract]:The real estate has an irreplaceable role in the economic life , which not only provides the necessary places for the residents ' life , but also plays an important part in the whole wealth of the residents , and has a strong investment speculation function . In this context , the real estate market is directly related to the degree of prosperity of the economy , and has a very close relationship with the financial industry and the whole financial system . In this context , the research on the correlation between the real estate market and the associated market has a strong practical significance , on the one hand , it contributes to the development of market investment , and on the other hand , it is beneficial to the supervision department to understand the market environment and formulate corresponding regulation strategies . Since Hong Kong ' s real estate market has the characteristics of internationalization , finance and so on , and occupies the pillar position in the economy of Hong Kong , the data is more complete and has better research characteristics , so the research on the real estate market of Hong Kong will play a certain reference and promotion due to the special relationship between the Hong Kong region and the Mainland . The four sub - items and the corresponding derivative issues of the relevance of the real estate and related market in Hong Kong are studied in this paper . The main research contents and the innovative results are as follows : Firstly , the dynamic dependence of the real estate market and the stock market and the dynamic spillover effect were studied and studied by DCC - ARCH model . The study found that the dynamic correlation degree between the two indexes was relatively low , and the fluctuation range was only between 6 % and 13 % . Secondly , the dynamic dependence of the real estate market in Hong Kong was studied by introducing the DSTCC - ARCH model with the influence of external factors on the dynamic correlation . The study found that the correlation between Hong Kong Island and Kowloon and New Territories West was relatively low . The dynamic correlation between Hong Kong Island and the New Territories East and the New Territories West showed a slow upward trend with the other five dynamic correlations . Thirdly , by dividing Hong Kong real estate into five types of residential buildings with different areas , the inflation rate of Hong Kong is divided into comprehensive inflation rate and three kinds of inflation rate aiming at different consumption levels . Finally , the trend of real estate securities assets , stock assets and non - risk assets in Hong Kong is described by selecting Hang Seng Real Estate Fund Index , Hang Seng Public Utility Index and Hibor overnight interest rate data . The dynamic correlation between three kinds of assets is obtained by using DCC - ARCH model . The research finds that the ratio of three assets has time - varying characteristics , but is relatively stable . The occurrence time of the extreme value in dynamic configuration is close to the extreme value of dynamic correlation between real estate fund index return and public utility index return .

【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F127;F299.27

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