本文關鍵詞：中國房地產市場與股市互動機制的實證分析　出處：《江西財經(jīng)大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 房價 滬深300指數(shù) 適應性預期 財富效應 經(jīng)濟危機 面板數(shù)據(jù)

【摘要】：在中國的投資渠道中,房地產市場和股票市場是兩個主要的部分,兩個市場既有替代性也有相當?shù)年P聯(lián)性,對房價和股價的相關性進行研究,有利于對投資方向的選擇、投資者心理的變化做一定了解,從而幫助投資者做出判斷和選擇。 中國近年來,房價的漲勢從大城市蔓延到中小城市,由于中國房地產市場對金融體系的依賴程度極高,成為金融業(yè)的重點投資對象,房地產周期性的波動的風險高度集中,對國民經(jīng)濟的潛在影響很大,已經(jīng)影響到居民的日常生活,成為一個國民關注的問題,正確認識房地產價格的波動規(guī)律,準確評估房地產市場對宏觀經(jīng)濟的影響,有助于對房價的波動趨勢做出合理的判斷,在各種不同的聲音中保持獨立的觀點。而股票市場是宏觀經(jīng)濟的晴雨表,重大消息在股價上的反應都是迅速而猛烈的,股票市場的波動也是有規(guī)律可尋的。在股指期貨成為穩(wěn)定的風險管理機制的背景下,股票指數(shù)的波動成為眾多研究者關心的問題,從股票指數(shù)和宏觀經(jīng)濟關系的研究,擴展到股票指數(shù)和房價的研究,是理所當然的。研究房地產市場和股票市場之間的關聯(lián),能對國民經(jīng)濟的整體情況管中窺豹,更早地觀察到潛在的不利因素,對可能的經(jīng)濟危機做一個提前的預警。由于經(jīng)濟周期的可觀察性,對房地產市場和股票市場的關注能加強對經(jīng)濟危機的敏感度,也能發(fā)現(xiàn)很多問題。 本文在大量研究和借鑒國內外研究成果的基礎上,結合中國的具體情況,對股價指數(shù)和房價的情況做了深入分析,研究了我國近年來房價波動與股指波動的互動機制,分析了房地產市場和股票市場的財富效應和投資效應,從房東—租客和開發(fā)商—購房者角度分別做出一定分析,并對房價和股價的關系做出實證性的研究。為了使理論和實際更好地結合,本研究對房地產市場和股票市場的現(xiàn)有定價模型做了一個梳理性的工作,提煉總結股票市場和房地產市場的共同影響因素,分析了理性預期和適應性預期在房價上的反映,對房地產價格從開發(fā)商和購房者角度以及房東和房客角度分別進行考慮,對股價現(xiàn)有的定價模型做了一個總結和分析,得出初步結論。 在本文的實證部分,主要包括對房價和股價的單獨分析、房價和股價的VAR和GRANGER分析以及截面和面板數(shù)據(jù)分析。股價采用4年的滬深300指數(shù),房價和股價的因果關系分析采用了4年的房地產銷售價格指數(shù)、城市居民消費價格指數(shù)、股票市價總值等數(shù)據(jù),面板數(shù)據(jù)選取了房地產價格、房地產投資、房地產銷售面積、房地產竣工面積、人均GDP、第三產業(yè)生產總值等基礎數(shù)據(jù),股票市場方面采用了滬深300指數(shù)、股票成交金額、股票市場總市值和股票成交量等數(shù)據(jù),主要采用EVIEWS軟件進行分析。 本文的結論認為：房地產市場和股票市場存在一定的關聯(lián)度,房地產市場和股票市場之間的財富效應較為明顯,非理性預期是房價波動的一個主要原因,政府對房地產市場和股票市場的宏觀調控應當更加謹慎,考慮到兩個市場的關聯(lián)性,以及房地產市場一旦發(fā)生變動對整個國民經(jīng)濟的巨大影響,在政策的制定過程中,參考多方面的意見,考慮到可能的后果, 本文對房地產市場和股票市場的聯(lián)動效應借鑒和繼承了前人的研究成果,也具有一定的創(chuàng)新之處,當然也存在著一些不足之處。在本文的研究中股價指標所采用的指標引入了成交金額和成交量,房價和股價的影響指標引入了匯率,綜合從多角度來構建房價和股價的模型,力求達到比較全面的結果。建立房價和股價指標體系所涵蓋的指標眾多,由于筆者的理論水平與數(shù)據(jù)搜集能力有限,無法收集到季度和月度的全部數(shù)據(jù),只能采用年度數(shù)據(jù)。本文中的一些研究結果也有待進一步的討論和驗證。
[Abstract]:In the Chinese investment channels, the real estate market and the stock market is the main part of the two, two markets are alternative has considerable relevance, research the correlation between house prices and stock prices, is conducive to the direction of investment choices, investors must understand the psychological changes, so as to help investors make a judgment and choice.
China in recent years, the price rise trend spread from big city to a small city, due to high dependence on the Chinese real estate market in the financial system, has become the focus of investment banking, the risk of real estate periodic fluctuation is highly concentrated, great potential impact on the national economy, has affected the daily life of the residents has become a national concern, a correct understanding of the real estate price fluctuation law, accurate assessment of the real estate market impact on macro economy, contribute to the trend of fluctuation of prices to make reasonable judgments, maintain independent views in a variety of different sounds. While the stock market is a barometer of macro economy, major news in response the stock price is swift and violent, the volatility of the stock market's rules can be found in the stock index futures. A stable risk management mechanism under the background of stock index wave Animals become of concern to many researchers, from the study of stock index and macro economy relation, extended to study the stock index and the stock price, is the association between behoove. The real estate market and the stock market, the overall situation of national economy can see only a small part earlier observed, the potential disadvantage of a early warning of possible economic crisis. Because of the economic cycle can be observed, the real estate market and the stock market's attention can enhance the sensitivity of the economic crisis, can be found a lot of problems.
In this paper a lot of research and reference of the domestic and foreign research results, combined with the specific circumstances of China, made a thorough analysis of the stock price index and price, studies the interaction mechanism of the price fluctuation and the fluctuation of stock index in recent years, the analysis of the real estate market and the stock market wealth effect and investment effect, from the landlord - tenant property buyers and developers are to make some analysis, make empirical research and relationship of housing price and stock price. In order to make a better combination of theory and practice, the existing research on pricing model of the real estate market and the stock market made a carding work, summarizes factors influence stock and real estate market, analyzes the rational expectations and adaptive expectations reflected in the prices, the price of real estate developers and buyers from the angle and the angle of the landlord and the tenant respectively. In consideration, a summary and analysis of the existing pricing model of stock price is made and a preliminary conclusion is drawn.
In the empirical part of this paper, mainly including the separate analysis of the housing price and stock price, analysis of housing price and stock price analysis of VAR and GRANGER and the cross section and panel data. The stock price by 4 years in Shanghai and Shenzhen 300 index, causality analysis price and stock price by 4 years of real estate sales price index, consumer price index of city residents the data, the value of the stock market, select the panel data of the price of real estate, real estate investment, real estate sales, real estate area, GDP per capita, third industry GDP data, the stock market with the CSI 300 index, the stock turnover, the total market value of the stock market and the stock trading volume and other data. Mainly analyzed by EVIEWS software.
The conclusion is that: the real estate market and the stock market has a certain degree of relevance, the wealth effect between real estate market and the stock market is more obvious, non rational expectations is one of the main reasons of price fluctuations, the macro-control of real estate market and the stock market should be more cautious, considering the relevance of the two markets and, once the real estate market changes a great impact on the national economy, in the process of policy-making, refer to various opinions, taking into account the possible consequences,
The linkage effects on the real estate market and the stock market experience and previous studies, but also has a certain innovations, of course, there are also some shortcomings. In this study the stock price index by index introduced turnover and volume, price and stock price impact index introduced exchange rate, comprehensive from the perspective of building price and stock price model, and strive to achieve more comprehensive results. The cover price and stock price index of the system is numerous, because the theoretical level and the data collection ability is limited, unable to collect quarterly and monthly data in all, only using annual data. Some research results of this paper also needs to be further discussion and verification.

【學位授予單位】：江西財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F299.23;F832.51;F224

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