本文關(guān)鍵詞：“新國十條”后上證指數(shù)與金融、地產(chǎn)板塊指數(shù)間關(guān)系的研究　出處：《華僑大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 上證指數(shù) 金融板塊指數(shù) 地產(chǎn)板塊指數(shù) SVAR GARCH

【摘要】：長久以來，金融業(yè)與房地產(chǎn)業(yè)之間天然的緊密關(guān)系，在實(shí)體經(jīng)濟(jì)領(lǐng)域中已然被大量歷史經(jīng)驗(yàn)所證實(shí)，但以資本市場的角度對此進(jìn)行的研究還比較少見。特別是在2010年4月17日施行史上最嚴(yán)厲的房產(chǎn)調(diào)控政策“新國十條”之后，我國A股市場中的金融板塊和房地產(chǎn)板塊指數(shù)收益率之間存在怎樣的聯(lián)動關(guān)系呢？ 本文采用申銀萬國證券編制的金融板塊指數(shù)和地產(chǎn)板塊指數(shù)收益率作為金融行業(yè)和地產(chǎn)行業(yè)在A股市場上行為的反饋，研究了從2010年4月19日以來上證指數(shù)、金融板塊指數(shù)和地產(chǎn)板塊指數(shù)的變動，特別是上述板塊指數(shù)之間的聯(lián)動關(guān)系。依據(jù)波動溢出和聯(lián)動效應(yīng)理論，綜合運(yùn)用協(xié)整檢驗(yàn)、Granger因果關(guān)系檢驗(yàn)、多元GARCH（BEKK）模型以及波動溢出和聯(lián)動效應(yīng)等方法，對各個板塊數(shù)間的因果關(guān)系、波動溢出效應(yīng)和聯(lián)動關(guān)系進(jìn)行了系統(tǒng)研究。 通過研究我們得出以下幾點(diǎn)主要結(jié)論：首先，，從長期來看，上證指數(shù)與金融板塊、地產(chǎn)板塊之間存在某種長期均衡關(guān)系，其中部分原因是金融和地產(chǎn)板塊在上證指數(shù)中所占較大的權(quán)重。研究同時還發(fā)現(xiàn)，房地產(chǎn)板塊指數(shù)的收益率對上證指數(shù)收益率和金融板塊指數(shù)收益率均產(chǎn)生一定的影響力，而金融板塊指數(shù)收益率則基本上受到上證指數(shù)和房地產(chǎn)板塊指數(shù)收益率的影響。本文最突出的結(jié)論是：從實(shí)證分析的結(jié)果來看，上海綜合指數(shù)和金融行業(yè)指數(shù)、房地產(chǎn)行業(yè)指數(shù)之間的收益率存在著相當(dāng)顯著的非線性聯(lián)動效應(yīng)和溢出效應(yīng)。
[Abstract]:For a long time, the natural close relationship between the financial industry and the real estate industry has been proved by a large number of historical experience in the real economy. However, the research on this issue from the perspective of capital market is rare, especially after the implementation of the toughest real estate regulation policy in history in April 17th 2010. What is the linkage between the financial sector and the real estate sector index yield in China's A-share market? In this paper, the financial sector index and real estate sector index yield of Shenyin Wanguo Securities are used as feedback on the behavior of the financial industry and real estate industry in the A-share market. This paper studies the changes of Shanghai Stock Exchange Index, Financial Plate Index and Real Estate Plate Index since April 19th 2010, especially the linkage relationship between the above mentioned plate indices, based on the theory of volatility spillover and linkage effect. By using co-integration test, Granger causality test, multivariate GARCH-BEKK model, volatility spillover and linkage effect, the causality of each plate is discussed. The volatility spillover effect and the linkage relation are studied systematically. Through the study, we draw the following main conclusions: first, from the long-term perspective, there is a long-term equilibrium relationship between the Shanghai Stock Exchange Index and the financial sector, real estate plate. Part of the reason is that the financial and real estate sector in the Shanghai Stock Exchange index account for a large weight. The study also found. The yield of real estate sector index has a certain influence on the return rate of Shanghai stock index and financial plate index. The financial sector index yield is basically affected by the Shanghai stock index and the real estate sector index yield. The most prominent conclusion of this paper is: from the results of empirical analysis, Shanghai composite index and financial industry index. There are significant nonlinear linkage effects and spillover effects among the real estate industry indices.
【學(xué)位授予單位】：華僑大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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