發(fā)布時間：2018-01-05 20:14

  本文關(guān)鍵詞：中國房市與股市關(guān)聯(lián)度研究　出處：《經(jīng)濟(jì)理論與經(jīng)濟(jì)管理》2010年08期 　論文類型：期刊論文

  更多相關(guān)文章： 房地產(chǎn)空間市場 房地產(chǎn)資本市場 關(guān)聯(lián)度

【摘要】：本文從投資回報(bào)角度構(gòu)建了一個房地產(chǎn)空間市場與房地產(chǎn)資本市場關(guān)聯(lián)度的理論模型。該理論模型顯示,本期股價與本期房價呈正相關(guān)關(guān)系,與下期房價呈負(fù)相關(guān)關(guān)系。本文采用系統(tǒng)GMM估計(jì)法對深滬兩市61家房地產(chǎn)上市公司1996—2007年度的數(shù)據(jù)進(jìn)行實(shí)證分析,結(jié)果發(fā)現(xiàn),房市與股市具有很強(qiáng)關(guān)聯(lián)度,但房市對股市影響大于股市對房市影響。其次,租金變動對房價和股價變動無顯著影響。最后,房價波動具有明顯序列相關(guān)性,而股價波動具有隨機(jī)游走特征。
[Abstract]:This paper constructs a theoretical model of the real estate market and real estate market space correlation of return from the investment perspective. The model shows that the stock prices are positively correlated with the relationship, has a negative correlation with the price. This paper uses the GMM method to estimate the system data of Shenzhen and Shanghai two 61 City real estate listed companies in 1996, the year 2007 empirical analysis results show that the housing market and the stock market has a strong correlation, but the impact of the housing market on the stock market than the stock market influence to the housing market. Secondly, rent change had no significant effect on prices and price changes. Finally, price fluctuations have a significant correlation, while stock price volatility has a random walk.

【作者單位】： 中國人民大學(xué)商學(xué)院;北京第二外國語學(xué)院國際經(jīng)濟(jì)貿(mào)易學(xué)院;
【基金】：中國人民大學(xué)明德學(xué)者培育計(jì)劃項(xiàng)目“開放經(jīng)濟(jì)條件下中國房地產(chǎn)市場與金融安全”(10XNJ022)
【分類號】：F293.35;F832.51
【正文快照】： 一、引言自20世紀(jì)90年代以來,美國房價不斷上升,加之低利率政策,次級債(subprime lending)得到了迅速發(fā)展。同時,以次級債為抵押資產(chǎn)的金融創(chuàng)新(例如,CDO,CDS,Synthetic CDOs)也迅速發(fā)展起來。次級貸款及其衍生品均未經(jīng)歷完整的經(jīng)濟(jì)周期。當(dāng)經(jīng)濟(jì)蕭條、房價下降、利率上升同時，

本文編號：1384655