【摘要】：隨著經(jīng)濟(jì)的快速發(fā)展，房地產(chǎn)業(yè)已經(jīng)成為我國(guó)基礎(chǔ)性行業(yè)，并在我國(guó)經(jīng)濟(jì)發(fā)展中占有重要地位。房地產(chǎn)業(yè)是一個(gè)典型的資金驅(qū)動(dòng)型行業(yè)。自2003年以來(lái)國(guó)家就對(duì)房地產(chǎn)企業(yè)的銀行貸款有收緊的趨勢(shì)，最近幾年國(guó)家又通過(guò)宏觀調(diào)控連續(xù)的上調(diào)貸款利率，使房地產(chǎn)融資的成本不斷上升。而另一方面，國(guó)內(nèi)大量的民間資本卻缺乏合理的投資渠道，使得許多中小投資者無(wú)法是資本投入到房地產(chǎn)行業(yè)，不能分享房地產(chǎn)產(chǎn)業(yè)快速發(fā)展帶來(lái)的收益。作為能很好解決上述矛盾的有效工具，房地產(chǎn)投資信托基金在中國(guó)的推出將是我國(guó)完善資本市場(chǎng)和推動(dòng)房地產(chǎn)業(yè)健康發(fā)展的重要推動(dòng)力量。在給房地產(chǎn)行業(yè)和投資者帶來(lái)巨大收益的同時(shí)，房地產(chǎn)投資信托基金所潛在的風(fēng)險(xiǎn)也不容忽視，如何對(duì)房地產(chǎn)投資信托基金的風(fēng)險(xiǎn)進(jìn)行有效的分析和管理，將對(duì)促進(jìn)我國(guó)房地產(chǎn)投資信托基金健康完善的發(fā)展具有重要的理論和現(xiàn)實(shí)意義。 進(jìn)入新世紀(jì)以來(lái)，隨著我國(guó)金融市場(chǎng)的不斷完善和發(fā)展，證券投資基金以其專業(yè)理財(cái)優(yōu)勢(shì)、理性投資行為已經(jīng)成為我國(guó)證券市場(chǎng)上影響力最大的機(jī)構(gòu)投資者之一。對(duì)基金的風(fēng)險(xiǎn)管理研究已經(jīng)成為近年來(lái)我國(guó)金融理論界研究的熱點(diǎn)問(wèn)題之一，特別是對(duì)開(kāi)放式基金的風(fēng)險(xiǎn)的研究。風(fēng)險(xiǎn)測(cè)量有很多方法，例如方差法和β系數(shù)法等。由于VaR值可以簡(jiǎn)單地通過(guò)一個(gè)數(shù)值表明資產(chǎn)或資產(chǎn)組合的市場(chǎng)風(fēng)險(xiǎn)的大小，簡(jiǎn)單易懂，且方便對(duì)比較同資產(chǎn)或資產(chǎn)組合風(fēng)險(xiǎn)的大小。另外，利用VaR還可以度量資產(chǎn)組合的整體市場(chǎng)風(fēng)險(xiǎn)，這許多傳統(tǒng)風(fēng)險(xiǎn)度量方法是做不到的。本借鑒開(kāi)方式基金的風(fēng)險(xiǎn)度量方法，選取在香港上市的三家房地產(chǎn)投資信托基金為樣本，通過(guò)EVIEWS6.0統(tǒng)計(jì)分析軟件和計(jì)量經(jīng)濟(jì)學(xué)方法進(jìn)行數(shù)據(jù)處理，實(shí)證分析結(jié)果得出:房地產(chǎn)投資信托基金收益率序列分布具有尖峰厚尾的特點(diǎn)，并且具有明顯的GARCH效應(yīng);GARCH模型很好地?cái)M合了收益率序列殘差項(xiàng)的異方差性，，選用GARCH模型能夠比較準(zhǔn)確的進(jìn)行VaR的估計(jì)，從而對(duì)房地產(chǎn)投資信托基金市場(chǎng)風(fēng)險(xiǎn)進(jìn)行度量。
[Abstract]:With the rapid development of economy, the real estate industry has become the basic industry of our country, and occupies an important position in the economic development of our country. Real estate industry is a typical fund-driven industry. Since 2003, the government has been tightening the bank loans to real estate enterprises. In recent years, the cost of real estate financing has been rising because of the continuous increase of loan interest rate through macro-control. On the other hand, a large amount of private capital in China lacks reasonable investment channels, which makes many small and medium-sized investors unable to invest in the real estate industry and share the profits brought by the rapid development of the real estate industry. As an effective tool to solve the above problems, the introduction of real estate investment trust fund in China will be an important driving force to perfect the capital market and promote the healthy development of real estate industry. While bringing huge profits to real estate industry and investors, the potential risks of real estate investment trust funds can not be ignored, how to effectively analyze and manage the risks of real estate investment trust funds, It is of great theoretical and practical significance to promote the healthy development of real estate investment trust fund in China. Since entering the new century, with the continuous improvement and development of our financial market, the securities investment fund has become one of the most influential institutional investors in the securities market with its professional financial management advantage and rational investment behavior. In recent years, the research on risk management of funds has become one of the hot issues in the field of financial theory, especially the risk of open-end funds. There are many methods for risk measurement, such as variance method and 尾-coefficient method. Because the VaR value can simply indicate the size of the market risk of the asset or portfolio through a numerical value, it is easy to understand and easy to compare the size of the risk of the same asset or portfolio. In addition, the use of VaR can also measure the overall market risk of portfolio, which many traditional risk measurement methods can not do. This paper draws lessons from the risk measurement method of open fund, selects three real estate investment trust funds listed in Hong Kong as the sample, and processes the data by EVIEWS6.0 statistical analysis software and econometrics method. The empirical results show that the distribution of return series of real estate investment trust funds has the characteristics of sharp peak and thick tail, and has obvious GARCH effect. GARCH model fits well the heteroscedasticity of the residual terms of the return series. The GARCH model can be used to estimate the VaR accurately, and then to measure the market risk of real estate investment trust funds.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F293.3;F832.49

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