中房上海住宅指数与上证综指的相关性研究

发布时间：2018-05-04 09:16

本文选题：房地产市场 + 股票市场　；参考：《复旦大学》2013年硕士论文

【摘要】：在现代经济社会中,房地产与股票在任何国家都是两种最主要的投资品种,它们的发展状况已经对各国经济运行起到至关重要的作用。股票市场是最容易滋生泡沫的虚拟经济,房地产市场作为实体经济与虚拟经济兼具的产业也容易产生泡沫,两个市场是风险聚集的重要载体。大量的历史事实显示,股票市场的波动与房地产市场发展存在较强的相关性,当这种相关性达到一定程度时,会加剧两个市场之间风险的传导,给整个经济造成严重后果。系统探讨房地产业和股票市场之间的关联和互动,对决策者和监管者来说,对防范金融风险和制定国家宏观经济政策具有重要的意义；与此同时,站在投资者的角度,通过研究房地产和股票市场波动的相关性,对于各个投资者建立有效的投资组合、做出正确的投资决策、获得更丰厚的投资回报无疑也具有重要意义。本文通过选取中房上海住宅指数和上证综指作为研究对象,首先比较研究两指数的编制方法,对比发现两指数都是通过定基期的加权平均的方法计算得出,同时,对比研究中房指数与国房指数的异同,发现中房指数具有纵向横向对比的优势,更能及时准确的反应房地产周期和未来的发展趋势。接着,文章阐述房地产与股票的相关概念及特性,指出房地产与其他实体产业的不同之处,结合房地产实体经济与虚拟经济兼具的二重属性,从消费渠道、融资渠道、投资渠道、市场波动渠道来研究与股票市场的作用机制。之后,文章通过对中房上海住宅指数与上证综指进行实证研究,研究发现两指数的收益率存在长期协整关系,且股票市场对房地产市场表现为财富效应,而房地产市场对股票市场具有强烈的替代效应和挤占效应。并且结合中国的具体国情对实证结果进行解释。最后,文章结合房地产市场与股票市场所呈现的关联性特点,站在决策者和监管部门的角度得到一些思考和见解,同时也为投资者和消费者提出资产配置的建议。
[Abstract]:In modern economic society, real estate and stock are the two most important kinds of investment in any country. Their development has played a vital role in the economic operation of all countries. Stock market is the most likely to breed bubble virtual economy, real estate market as both real economy and virtual economy industry is prone to bubble, the two markets are the important carrier of risk aggregation. A large number of historical facts show that there is a strong correlation between the fluctuation of stock market and the development of real estate market. When the correlation reaches a certain degree, it will aggravate the transmission of risk between the two markets and cause serious consequences to the whole economy. Systematically exploring the linkages and interactions between real estate and the stock market is important for policymakers and regulators to prevent financial risks and formulate national macroeconomic policies; at the same time, from the perspective of investors, By studying the correlation between the fluctuation of real estate and stock market, it is of great significance for each investor to establish an effective investment portfolio, to make the right investment decision and to obtain a better return on investment. In this paper, the Shanghai Housing Index and Shanghai Composite Index are selected as the research objects. Firstly, the compilation methods of the two indices are compared and studied. It is found that the two indices are calculated by the weighted average method of the fixed base period, and at the same time, Comparing and studying the similarities and differences between the middle house index and the national house index, it is found that the middle house index has the advantage of vertical and horizontal contrast, and can reflect the real estate cycle and the future development trend in time and accurately. Then, the paper expounds the related concepts and characteristics of real estate and stock, points out the differences between real estate and other real estate industries, combines the dual attributes of real estate economy and virtual economy, from consumption channels and financing channels. Investment channels, market volatility channels to study the role of the stock market mechanism. Then, through the empirical study of Shanghai Housing Index and Shanghai Composite Index, the paper finds that there is a long-term cointegration relationship between the returns of the two indices, and the stock market has a wealth effect on the real estate market. But the real estate market has the strong substitution effect and the crowding effect to the stock market. And combined with the specific situation of China to explain the empirical results. Finally, according to the characteristics of the relationship between the real estate market and the stock market, this paper obtains some thoughts and opinions from the perspective of policy makers and regulators, and puts forward some suggestions on asset allocation for investors and consumers at the same time.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F299.23;F832.51

【参考文献】