本文選題：股票市場(chǎng)　切入點(diǎn)：房地產(chǎn)市場(chǎng)　出處：《東北財(cái)經(jīng)大學(xué)》2016年碩士論文　論文類型：學(xué)位論文

【摘要】：在全球一體化進(jìn)程不斷加快的時(shí)代背景下,全球金融市場(chǎng)關(guān)系越來越緊密,因此許多學(xué)者開始研究金融市場(chǎng)之間的波動(dòng)相關(guān)性。股票市場(chǎng)和房地產(chǎn)市場(chǎng)作為我國主要的資本市場(chǎng),自建立以來,取得了非常大的進(jìn)步,但是在發(fā)展的過程中股票市場(chǎng)和房地產(chǎn)市場(chǎng)都暴露出了發(fā)展的弊端,如波動(dòng)幅度比較大,價(jià)格波動(dòng)也比較頻繁,而且波動(dòng)不是相互獨(dú)立的,具有某種關(guān)聯(lián)性。房地產(chǎn)具有消費(fèi)屬性,現(xiàn)已逐漸具有投資屬性,房產(chǎn)和股票已成為人們主要關(guān)注的投資工具,股價(jià)的漲跌和房?jī)r(jià)的變動(dòng)都會(huì)改變居民的財(cái)富存量,從而改變居民的收入分配、消費(fèi)決策,進(jìn)而影響整個(gè)經(jīng)濟(jì)社會(huì)的資源配置和供需平衡。而且我們發(fā)現(xiàn)在兩個(gè)市場(chǎng)價(jià)格波動(dòng)中,兩者在不同時(shí)間段呈現(xiàn)出不同的動(dòng)態(tài)關(guān)系,這種動(dòng)態(tài)相關(guān)性在一定程度上反映了人們?cè)谙M(fèi)與投資上的心理變化以及政策在其中發(fā)揮的作用。因此揭示兩個(gè)市場(chǎng)收益率在不同宏觀經(jīng)濟(jì)條件下的相關(guān)性,不僅可以促進(jìn)中國票市場(chǎng)和房地產(chǎn)市場(chǎng)的進(jìn)一步發(fā)展和完善,而且可以給宏觀經(jīng)濟(jì)政策實(shí)施者以及廣大投資者一些有意義的參考。近年來,國內(nèi)外學(xué)者對(duì)股市和房市的相關(guān)關(guān)系進(jìn)行了較多的實(shí)證研究,但二者到底呈現(xiàn)什么關(guān)系,卻是眾說紛紜�；趪鴥�(nèi)外相關(guān)文獻(xiàn)的研究,了解國內(nèi)外的研究視角和研究方法,本文以金融危機(jī)為界限劃分為兩個(gè)樣本區(qū)間,在考慮傳統(tǒng)計(jì)量方法的基礎(chǔ)上,引入波動(dòng)溢出效應(yīng)模型VAR-GARCH-BEKK和動(dòng)態(tài)相關(guān)性模型DCC-GARCH模型,進(jìn)一步分析股市和房市的波動(dòng)溢出效應(yīng)和動(dòng)態(tài)相關(guān)性,用Matlab和Eviews參數(shù)估計(jì),全面的掌握股市和房市的內(nèi)在互聯(lián)關(guān)系。本文根據(jù)我國股市和房市的特點(diǎn),結(jié)合理論分析和實(shí)證分析,對(duì)我國股市收益率和房市收益率之間的關(guān)系進(jìn)行分析研究。首先,從微觀和宏觀兩個(gè)角度在理論上分析我國股市與房市的互動(dòng)關(guān)系,然后采用ADF單位根檢驗(yàn)、VAR模型、脈沖響應(yīng)函數(shù)分析、格蘭杰因果檢驗(yàn)、VAR-GARCH-BEKK波動(dòng)溢出效應(yīng)檢驗(yàn)以及DCC-GARCH動(dòng)態(tài)分析等計(jì)量方法對(duì)股市和房市收益率之間的波動(dòng)相關(guān)性做實(shí)證研究。根據(jù)實(shí)證結(jié)果得出,股市價(jià)格和房市價(jià)格的波動(dòng)都受前期波動(dòng)的影響,而且波動(dòng)都存在明顯的聚集性,2005-2015年這段時(shí)間里,房市與股市之間具有顯著的單向波動(dòng)傳遞效應(yīng),股市的價(jià)格變動(dòng)會(huì)傳遞到房市;兩個(gè)市場(chǎng)收益率的相關(guān)系數(shù)是變化的,整體上具有正的相關(guān)性;股價(jià)變化是房?jī)r(jià)變化的格蘭杰原因。金融危機(jī)前后股市和房市的收益率呈現(xiàn)出不同的關(guān)系。總體上,在兩個(gè)市場(chǎng)的互聯(lián)關(guān)系中,幾乎是股市具有主導(dǎo)作用。文章最后對(duì)不同階段出現(xiàn)不同相關(guān)關(guān)系進(jìn)行詳細(xì)分析,并提出可實(shí)施的政策建議。
[Abstract]:In the context of the accelerating process of global integration, the global financial markets are becoming more and more closely related. Therefore, many scholars have begun to study the volatility correlation between financial markets. As the main capital market in China, stock market and real estate market have made great progress since their establishment. However, in the process of development, both the stock market and the real estate market have exposed the disadvantages of development. For example, the volatility is relatively large, the price fluctuates more frequently, and the fluctuations are not independent of each other. There is a certain correlation. Real estate has the property of consumption, now gradually has the attribute of investment, the real estate and the stock have become the main investment tool that people pay attention to, the rise and fall of the stock price and the change of the house price will change the wealth stock of the resident. Thus changing residents' income distribution and consumption decisions, thus affecting the allocation of resources and the balance of supply and demand of the whole economy and society. Moreover, we find that in the two market price fluctuations, there are different dynamic relationships between the two in different time periods. This dynamic correlation reflects, to some extent, the psychological changes in consumption and investment and the role of policy in it. It can not only promote the further development and improvement of China's ticket market and real estate market, but also provide some meaningful references for macroeconomic policy implementers and investors. Scholars at home and abroad have carried out more empirical research on the relationship between stock market and housing market, but there are different opinions on what the relationship between them is. Based on the research of relevant literature at home and abroad, we can understand the research perspective and research methods at home and abroad. In this paper, the financial crisis is divided into two sample intervals. The volatility spillover effect model (VAR-GARCH-BEKK) and the dynamic correlation model (DCC-GARCH) are introduced on the basis of the traditional econometric methods. The volatility spillover effect and dynamic correlation of stock market and housing market are further analyzed, and the intrinsic interrelation between stock market and housing market is comprehensively grasped by Matlab and Eviews parameter estimation. According to the characteristics of stock market and housing market in China, Combined with theoretical analysis and empirical analysis, this paper analyzes the relationship between the return rate of stock market and the rate of return of housing market in China. Firstly, it theoretically analyzes the interactive relationship between stock market and housing market from the micro and macro perspectives. Then the ADF unit root test is used to test the VAR model, and the impulse response function is analyzed. Granger causality test VAR-GARCH-BEKK volatility spillover effect test and DCC-GARCH dynamic analysis are used to study the volatility correlation between stock market and housing market. The volatility of stock market price and housing market price is affected by the previous fluctuation, and the volatility has obvious agglomeration during the period 2005-2015, there is a significant one-way volatility transfer effect between the housing market and the stock market. The price change of the stock market will pass to the housing market, the correlation coefficient of the two markets' yield is variable, the whole has the positive correlation; The change of stock price is the Granger reason for the change of house price. Before and after the financial crisis, the yield of stock market and housing market show different relationship. It is almost the stock market that plays a leading role. Finally, the article analyzes the different correlation relations in different stages in detail, and puts forward some policy suggestions that can be implemented.
【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類號(hào)】：F832.51;F299.23

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