本文關(guān)鍵詞：中國(guó)房地產(chǎn)市場(chǎng)與股市互動(dòng)機(jī)制的實(shí)證分析　出處：《江西財(cái)經(jīng)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： 房?jī)r(jià) 滬深300指數(shù) 適應(yīng)性預(yù)期 財(cái)富效應(yīng) 經(jīng)濟(jì)危機(jī) 面板數(shù)據(jù)

【摘要】：在中國(guó)的投資渠道中,房地產(chǎn)市場(chǎng)和股票市場(chǎng)是兩個(gè)主要的部分,兩個(gè)市場(chǎng)既有替代性也有相當(dāng)?shù)年P(guān)聯(lián)性,對(duì)房?jī)r(jià)和股價(jià)的相關(guān)性進(jìn)行研究,有利于對(duì)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(guó)近年來(lái),房?jī)r(jià)的漲勢(shì)從大城市蔓延到中小城市,由于中國(guó)房地產(chǎn)市場(chǎng)對(duì)金融體系的依賴程度極高,成為金融業(yè)的重點(diǎn)投資對(duì)象,房地產(chǎn)周期性的波動(dòng)的風(fēng)險(xiǎn)高度集中,對(duì)國(guó)民經(jīng)濟(jì)的潛在影響很大,已經(jīng)影響到居民的日常生活,成為一個(gè)國(guó)民關(guān)注的問(wèn)題,正確認(rèn)識(shí)房地產(chǎn)價(jià)格的波動(dòng)規(guī)律,準(zhǔn)確評(píng)估房地產(chǎn)市場(chǎng)對(duì)宏觀經(jīng)濟(jì)的影響,有助于對(duì)房?jī)r(jià)的波動(dòng)趨勢(shì)做出合理的判斷,在各種不同的聲音中保持獨(dú)立的觀點(diǎn)。而股票市場(chǎng)是宏觀經(jīng)濟(jì)的晴雨表,重大消息在股價(jià)上的反應(yīng)都是迅速而猛烈的,股票市場(chǎng)的波動(dòng)也是有規(guī)律可尋的。在股指期貨成為穩(wěn)定的風(fēng)險(xiǎn)管理機(jī)制的背景下,股票指數(shù)的波動(dòng)成為眾多研究者關(guān)心的問(wèn)題,從股票指數(shù)和宏觀經(jīng)濟(jì)關(guān)系的研究,擴(kuò)展到股票指數(shù)和房?jī)r(jià)的研究,是理所當(dāng)然的。研究房地產(chǎn)市場(chǎng)和股票市場(chǎng)之間的關(guān)聯(lián),能對(duì)國(guó)民經(jīng)濟(jì)的整體情況管中窺豹,更早地觀察到潛在的不利因素,對(duì)可能的經(jīng)濟(jì)危機(jī)做一個(gè)提前的預(yù)警。由于經(jīng)濟(jì)周期的可觀察性,對(duì)房地產(chǎn)市場(chǎng)和股票市場(chǎng)的關(guān)注能加強(qiáng)對(duì)經(jīng)濟(jì)危機(jī)的敏感度,也能發(fā)現(xiàn)很多問(wèn)題。 本文在大量研究和借鑒國(guó)內(nèi)外研究成果的基礎(chǔ)上,結(jié)合中國(guó)的具體情況,對(duì)股價(jià)指數(shù)和房?jī)r(jià)的情況做了深入分析,研究了我國(guó)近年來(lái)房?jī)r(jià)波動(dòng)與股指波動(dòng)的互動(dòng)機(jī)制,分析了房地產(chǎn)市場(chǎng)和股票市場(chǎng)的財(cái)富效應(yīng)和投資效應(yīng),從房東—租客和開(kāi)發(fā)商—購(gòu)房者角度分別做出一定分析,并對(duì)房?jī)r(jià)和股價(jià)的關(guān)系做出實(shí)證性的研究。為了使理論和實(shí)際更好地結(jié)合,本研究對(duì)房地產(chǎn)市場(chǎng)和股票市場(chǎng)的現(xiàn)有定價(jià)模型做了一個(gè)梳理性的工作,提煉總結(jié)股票市場(chǎng)和房地產(chǎn)市場(chǎng)的共同影響因素,分析了理性預(yù)期和適應(yīng)性預(yù)期在房?jī)r(jià)上的反映,對(duì)房地產(chǎn)價(jià)格從開(kāi)發(fā)商和購(gòu)房者角度以及房東和房客角度分別進(jìn)行考慮,對(duì)股價(jià)現(xiàn)有的定價(jià)模型做了一個(gè)總結(jié)和分析,得出初步結(jié)論。 在本文的實(shí)證部分,主要包括對(duì)房?jī)r(jià)和股價(jià)的單獨(dú)分析、房?jī)r(jià)和股價(jià)的VAR和GRANGER分析以及截面和面板數(shù)據(jù)分析。股價(jià)采用4年的滬深300指數(shù),房?jī)r(jià)和股價(jià)的因果關(guān)系分析采用了4年的房地產(chǎn)銷售價(jià)格指數(shù)、城市居民消費(fèi)價(jià)格指數(shù)、股票市價(jià)總值等數(shù)據(jù),面板數(shù)據(jù)選取了房地產(chǎn)價(jià)格、房地產(chǎn)投資、房地產(chǎn)銷售面積、房地產(chǎn)竣工面積、人均GDP、第三產(chǎn)業(yè)生產(chǎn)總值等基礎(chǔ)數(shù)據(jù),股票市場(chǎng)方面采用了滬深300指數(shù)、股票成交金額、股票市場(chǎng)總市值和股票成交量等數(shù)據(jù),主要采用EVIEWS軟件進(jìn)行分析。 本文的結(jié)論認(rèn)為：房地產(chǎn)市場(chǎng)和股票市場(chǎng)存在一定的關(guān)聯(lián)度,房地產(chǎn)市場(chǎng)和股票市場(chǎng)之間的財(cái)富效應(yīng)較為明顯,非理性預(yù)期是房?jī)r(jià)波動(dòng)的一個(gè)主要原因,政府對(duì)房地產(chǎn)市場(chǎng)和股票市場(chǎng)的宏觀調(diào)控應(yīng)當(dāng)更加謹(jǐn)慎,考慮到兩個(gè)市場(chǎng)的關(guān)聯(lián)性,以及房地產(chǎn)市場(chǎng)一旦發(fā)生變動(dòng)對(duì)整個(gè)國(guó)民經(jīng)濟(jì)的巨大影響,在政策的制定過(guò)程中,參考多方面的意見(jiàn),考慮到可能的后果, 本文對(duì)房地產(chǎn)市場(chǎng)和股票市場(chǎng)的聯(lián)動(dòng)效應(yīng)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(dāng)然也存在著一些不足之處。在本文的研究中股價(jià)指標(biāo)所采用的指標(biāo)引入了成交金額和成交量,房?jī)r(jià)和股價(jià)的影響指標(biāo)引入了匯率,綜合從多角度來(lái)構(gòu)建房?jī)r(jià)和股價(jià)的模型,力求達(dá)到比較全面的結(jié)果。建立房?jī)r(jià)和股價(jià)指標(biāo)體系所涵蓋的指標(biāo)眾多,由于筆者的理論水平與數(shù)據(jù)搜集能力有限,無(wú)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(jié)果也有待進(jìn)一步的討論和驗(yàn)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(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F299.23;F832.51;F224

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