本文關(guān)鍵詞： 房地產(chǎn)市場 股票市場 VAR模型　出處：《山東大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：改革開放以來,中國房地產(chǎn)市場和股票市場逐漸形成并迅速壯大。經(jīng)過十多年的迅速發(fā)展,中國股票市場的總市值已躍居世界第三位。房地產(chǎn)業(yè)也已經(jīng)成為國民經(jīng)濟(jì)的命脈。房地產(chǎn)市場和股票市場成為資本市場的主要風(fēng)險積累市場,房地產(chǎn)和股票也成為投資者的最重要的兩種投資對象。因此研究房地產(chǎn)市場和股票市場的互動關(guān)系,把握兩者之中誰占有主導(dǎo)地位對促進(jìn)國民經(jīng)濟(jì)健康發(fā)展以及投資者的理性投資具有重要意義。 本文對房地產(chǎn)市場和股票市場互動關(guān)系的傳導(dǎo)機(jī)制做了深入的理論分析,房地產(chǎn)市場和股票市場通過信貸擴(kuò)張效應(yīng)、財富效應(yīng)呈現(xiàn)一定的正向互動關(guān)系,同時宏觀經(jīng)濟(jì)的傳導(dǎo)效應(yīng)一定程度上促進(jìn)了房地產(chǎn)市場與股票市場的相互作用程度。房地產(chǎn)市場和股票市場在投資組合效應(yīng)的影響下,存在負(fù)向的互動關(guān)系。但是最終兩者之間的互動關(guān)系還要根據(jù)實際情況來分析。本文選取了具有代表性的兩個國家美國和日本,對國外房地產(chǎn)市場和股票市場的互動關(guān)系進(jìn)行了經(jīng)驗分析,從而為我國房地產(chǎn)市場和股票市場的健康有序發(fā)展提供了有益的借鑒。 通過建立VAR模型,運用協(xié)整檢驗、Granger因果關(guān)系檢驗及脈沖響應(yīng)函數(shù)等實證方法對中國房地產(chǎn)市場與股票市場的互動關(guān)系進(jìn)行了實證分析。由實證結(jié)果可知,中國房地產(chǎn)市場與股票市場在不同的時期存在不同的互動關(guān)系。1998-2005年,中國房地產(chǎn)市場和股票市場是負(fù)向相關(guān)關(guān)系,房地產(chǎn)市場在兩者之間的互動關(guān)系中處于主導(dǎo)地位。2006-2008年,中國房地產(chǎn)市場和股票市場呈現(xiàn)正向相關(guān)關(guān)系,而股票市場在兩者之間的互動關(guān)系中處于主導(dǎo)地位。2009-2011年,中國房地產(chǎn)市場與股票市場相互影響、相互作用,呈現(xiàn)正向的相關(guān)關(guān)系。 中國房地產(chǎn)市場與股票市場的互動關(guān)系具有自身的特性。宏觀經(jīng)濟(jì)及宏觀經(jīng)濟(jì)政策對房地產(chǎn)市場及股票市場的發(fā)展產(chǎn)生重要的影響,同時房地產(chǎn)業(yè)已成為拉動GDP的一個重要增長點,股票市場作為國民經(jīng)濟(jì)的晴雨表作用越來越明顯。目前,我國房地產(chǎn)市場和股票市場聯(lián)系越來越密切,兩者之間相互影響、相互作用,呈現(xiàn)正向的互動關(guān)系。因此,國家在進(jìn)行宏觀調(diào)控時,應(yīng)統(tǒng)籌協(xié)調(diào)兩個市場,拓展投資與融資渠道,投資者應(yīng)該理性進(jìn)行投資組合。
[Abstract]:Since the reform and opening up, China's real estate market and stock market has gradually formed and expanded rapidly. After more than 10 years of rapid development. China's total stock market market value has leapt to the third place in the world. The real estate industry has also become the lifeblood of the national economy. The real estate market and the stock market have become the main risk accumulation market of the capital market. Real estate and stocks are also the two most important investment objects for investors. Therefore, the interaction between real estate market and stock market is studied. It is of great significance to grasp the dominant position of the two to promote the healthy development of the national economy and the rational investment of investors. This paper makes a deep theoretical analysis on the transmission mechanism of the interaction between the real estate market and the stock market. The real estate market and the stock market show a certain positive interaction through the credit expansion effect and the wealth effect. At the same time, the transmission effect of macro economy promotes the interaction between real estate market and stock market to some extent, and the real estate market and stock market are influenced by portfolio effect. There is a negative interaction. But the final interaction between the two should be analyzed according to the actual situation. This paper selected two representative countries, the United States and Japan. The interaction between foreign real estate market and stock market is analyzed empirically, which provides a useful reference for the healthy and orderly development of China's real estate market and stock market. By establishing VAR model, cointegration test is used. Granger causality test and impulse response function are used to analyze the interaction between Chinese real estate market and stock market. China's real estate market and stock market in different periods of different interaction. 1998-2005, China's real estate market and the stock market is a negative correlation. Real estate market in the interaction between the two in the dominant position. 2006-2008, China's real estate market and the stock market show a positive correlation. The stock market is dominant in the interaction between the two. In 2009-2011, the real estate market and the stock market in China interact and interact, showing a positive correlation. The interactive relationship between Chinese real estate market and stock market has its own characteristics. Macroeconomic and macroeconomic policies have an important impact on the development of real estate market and stock market. At the same time, the real estate industry has become an important growth point of GDP, the stock market as a barometer of the national economy is becoming more and more obvious. At present, the real estate market and the stock market are more and more closely linked. Therefore, the state should coordinate the two markets in order to expand the channels of investment and financing. Investors should be rational in their portfolios.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F293.3;F832.51;F224

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