本文關(guān)鍵詞：我國(guó)股票市場(chǎng)與房地產(chǎn)市場(chǎng)相關(guān)性實(shí)證研究　出處：《復(fù)旦大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

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【摘要】：上世紀(jì)90年代初,上海證券交易所和深圳證券交易所分別成立,標(biāo)志著我國(guó)證券市場(chǎng)正式誕生,此后的二十多年間,我國(guó)股票市場(chǎng)經(jīng)歷了不斷地發(fā)展壯大,在金融市場(chǎng)和經(jīng)濟(jì)生活中扮演著越來(lái)越重要的角色。與此同時(shí),自1998年我國(guó)房地產(chǎn)實(shí)行市場(chǎng)化以來(lái),房地產(chǎn)市場(chǎng)也獲得迅猛發(fā)展,兼具商品屬性和金融屬性,成為拉動(dòng)我國(guó)經(jīng)濟(jì)增長(zhǎng)的支柱性行業(yè)。股票市場(chǎng)和房地產(chǎn)市場(chǎng)在我國(guó)經(jīng)濟(jì)和金融發(fā)展中都起到關(guān)鍵性作用,研究這兩個(gè)市場(chǎng)之間的互動(dòng)關(guān)系,對(duì)我國(guó)經(jīng)濟(jì)的健康發(fā)展具有十分重要的意義。 近年來(lái),海外和國(guó)內(nèi)學(xué)者相繼對(duì)股票市場(chǎng)與房地產(chǎn)市場(chǎng)的關(guān)系進(jìn)行了深入探討和研究,大部分研究結(jié)果顯示股票市場(chǎng)和房地產(chǎn)市場(chǎng)之間的確具有一定關(guān)系,但國(guó)內(nèi)部分學(xué)者在以我國(guó)為對(duì)象進(jìn)行研究的過(guò)程中,對(duì)兩者的關(guān)系提出了不同的意見(jiàn)。因此本文旨在充分吸收借鑒前人研究成果的基礎(chǔ)上,對(duì)我國(guó)股票市場(chǎng)與房地產(chǎn)市場(chǎng)長(zhǎng)期及不同階段內(nèi)存在的關(guān)系進(jìn)行研究,并依據(jù)研究結(jié)果給出相應(yīng)的政策建議。 由于向量自回歸模型是研究?jī)蓚�(gè)相關(guān)經(jīng)濟(jì)指標(biāo)及其預(yù)測(cè)時(shí)較容易操作的模型之一,因此學(xué)者在研究股票市場(chǎng)和房地產(chǎn)市場(chǎng)關(guān)系時(shí),廣泛地應(yīng)用了向量自回歸模型。本文在前人理論與實(shí)證研究的基礎(chǔ)上,結(jié)合我國(guó)實(shí)際經(jīng)濟(jì)情況,采用了理論分析與實(shí)證模型相結(jié)合的方法,對(duì)我國(guó)股票市場(chǎng)和房地產(chǎn)市場(chǎng)價(jià)格之間的關(guān)系進(jìn)行探究,本文主要研究?jī)?nèi)容如下： (1)對(duì)國(guó)內(nèi)外關(guān)于股票市場(chǎng)和房地產(chǎn)市場(chǎng)關(guān)系的文獻(xiàn)進(jìn)行了研究,對(duì)其作用機(jī)制、研究方法(角度)等方面進(jìn)行了系統(tǒng)的總結(jié)和歸納。 (2)本文為定量研究股票和房地產(chǎn)價(jià)格之間的關(guān)系,建立了相應(yīng)的向量自回歸模型。主要采用ADF單位根檢驗(yàn)、VAR模型回歸分析、脈沖響應(yīng)函數(shù)分析、方差分解、格蘭杰因果檢驗(yàn)、E-G協(xié)整檢驗(yàn)等實(shí)證方法對(duì)我國(guó)股票市場(chǎng)和房地產(chǎn)市場(chǎng)價(jià)格之間的關(guān)聯(lián)性進(jìn)行了實(shí)證研究。研究發(fā)現(xiàn),在1998-2011年這段時(shí)間內(nèi),我國(guó)股票市場(chǎng)價(jià)格是引起房地產(chǎn)市場(chǎng)價(jià)格波動(dòng)的格蘭杰原因,兩個(gè)市場(chǎng)價(jià)格存在一定正向關(guān)聯(lián)性。本文基于結(jié)構(gòu)突變模型和經(jīng)濟(jì)意義劃分了子樣本區(qū)間,進(jìn)一步分階段研究股票市場(chǎng)和房地產(chǎn)市場(chǎng)關(guān)系。 (3)文章最后根據(jù)我國(guó)股票市場(chǎng)和房地產(chǎn)市場(chǎng)之間的實(shí)證研究結(jié)果,結(jié)合日本與美國(guó)的國(guó)際經(jīng)驗(yàn)和借鑒,提出了相應(yīng)的結(jié)論和政策建議。
[Abstract]:In -10s, the Shanghai Stock Exchange and the Shenzhen Stock Exchange were established respectively, marking the formal birth of China's securities market. Since then, more than 20 years, China's stock market has experienced continuous development and growth. It plays a more and more important role in the financial market and economic life. At the same time, since 1998, the real estate market has been developing rapidly. With both commodity and financial attributes, it has become a pillar industry to stimulate the economic growth of our country. The stock market and real estate market play a key role in the economic and financial development of our country. It is of great significance to study the interaction between these two markets for the healthy development of our economy. In recent years, overseas and domestic scholars have conducted in-depth research on the relationship between stock market and real estate market. Most of the results show that there is a certain relationship between stock market and real estate market. However, some domestic scholars have put forward different opinions on the relationship between the two in the process of studying our country. Therefore, this paper aims to fully absorb the previous research results on the basis. The relationship between the stock market and the real estate market in China is studied in the long term and in different stages, and the corresponding policy suggestions are given according to the results of the research. Because the vector autoregressive model is one of the models which is easy to operate in the study of two related economic indicators and their prediction, scholars are studying the relationship between the stock market and the real estate market. Vector autoregressive model is widely used in this paper. Based on the previous theoretical and empirical research, combined with the actual economic situation in China, this paper adopts the combination of theoretical analysis and empirical model. This paper explores the relationship between stock market and real estate market price in China. The main contents of this paper are as follows: 1) this paper studies the relationship between stock market and real estate market at home and abroad, and summarizes its mechanism, research methods (angles) and so on. In order to quantitatively study the relationship between stock price and real estate price, this paper establishes the corresponding vector autoregressive model, mainly using ADF unit root test / VAR model regression analysis. Impulse response function analysis, variance decomposition, Granger causality test and E-G cointegration test are used to study the relationship between stock market and real estate market price. During the period of 1998-2011, the price of Chinese stock market is the Granger cause of the fluctuation of the real estate market price. There is a positive correlation between the two market prices. Based on the structural catastrophe model and the economic significance, this paper divides the sub-sample interval, and further studies the relationship between the stock market and the real estate market in stages. Finally, according to the empirical research results between China's stock market and real estate market, combined with the international experience and reference of Japan and the United States, the paper puts forward the corresponding conclusions and policy recommendations.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.51;F293.3

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