本文選題：相關(guān)性 + 尾部相關(guān)性�。� 參考：《華中科技大學(xué)》2013年碩士論文

【摘要】：金融市場間的相關(guān)性分析是金融研究領(lǐng)域一個熱門課題，投資組合的選擇、資產(chǎn)定價、風(fēng)險度量等問題都涉及到相關(guān)性分析。隨著全球經(jīng)濟(jì)的進(jìn)一步發(fā)展，金融市場的進(jìn)一步完善，房地產(chǎn)和股票已經(jīng)成為投資市場上最主要的兩種投資產(chǎn)品。研究房地產(chǎn)市場和股票市場間的相互關(guān)系，對投資者優(yōu)化配置資產(chǎn)組合，政府制定宏觀調(diào)控政策，國民經(jīng)濟(jì)的健康發(fā)展都有著十分重要的指導(dǎo)意義。為此，，本文將從理論分析和實(shí)證研究兩個方面研究中國的房地產(chǎn)市場和股票市場間的相關(guān)性。 本文首先從經(jīng)濟(jì)學(xué)理論出發(fā)分析房地產(chǎn)市場和股票市場間的相關(guān)關(guān)系，然后運(yùn)用傳統(tǒng)金融計(jì)量經(jīng)濟(jì)學(xué)相關(guān)性分析法對我國房地產(chǎn)市場和股票市場間的相關(guān)關(guān)系進(jìn)行實(shí)證研究。針對線性相關(guān)系數(shù)和傳統(tǒng)計(jì)量經(jīng)濟(jì)學(xué)相關(guān)性分析方法的不足，本文還引入了copula函數(shù)研究兩個市場間的相關(guān)程度和尾部相關(guān)性，從而全方位的揭示兩個市場間的相互關(guān)系。最后根據(jù)理論分析和實(shí)證檢驗(yàn)的結(jié)果，解釋我國房地產(chǎn)市場和股票市場間的相關(guān)關(guān)系的原因，并提出有效控制房地產(chǎn)市場和股票市場等具體政策建議。傳統(tǒng)計(jì)量經(jīng)濟(jì)學(xué)相關(guān)性分析法中的Johansen協(xié)整檢驗(yàn)的檢驗(yàn)結(jié)果顯示中國房地產(chǎn)市場和股票市場存在長期的協(xié)整關(guān)系，格蘭杰（Granger）因果檢驗(yàn)的結(jié)果表明中國房地產(chǎn)市場和股票市場表現(xiàn)出單向的線性格蘭杰因果關(guān)系，股票市場在兩者的相互關(guān)系中占主導(dǎo)，脈沖響應(yīng)函數(shù)分析的結(jié)果表明兩個市場間的存在正相關(guān)性，此外，copula相關(guān)性分析得出兩個市場間存對稱的尾部相關(guān)關(guān)系，表明正的極值和負(fù)的極值對兩個市場間的相互關(guān)系影響是一致的，次貸危機(jī)會影響中國房地產(chǎn)市場和股票市場間的相關(guān)性。這些結(jié)果對投資者配置投資組合和政府宏觀政策的制定有著十分重要的指導(dǎo)意義。
[Abstract]:Correlation analysis among financial markets is a hot topic in the field of financial research. The selection of portfolio, asset pricing, risk measurement and so on are all related to correlation analysis. With the further development of the global economy and the further improvement of the financial market, real estate and stocks have become the two most important investment products in the investment market. The study of the relationship between the real estate market and the stock market is of great significance for the investors to optimize the allocation of assets, the government to formulate macro-control policies, and the healthy development of the national economy. Therefore, this paper will study the correlation between China's real estate market and stock market from two aspects: theoretical analysis and empirical research. This paper first analyzes the correlation between real estate market and stock market from the economic theory, then makes an empirical study on the correlation between real estate market and stock market by using the traditional financial econometrics correlation analysis method. Aiming at the deficiency of the linear correlation coefficient and the traditional econometrics correlation analysis method, this paper also introduces the copula function to study the correlation degree and the tail correlation between the two markets, so as to reveal the relationship between the two markets in all directions. Finally, according to the results of theoretical analysis and empirical test, this paper explains the reasons of the correlation between the real estate market and the stock market, and puts forward some specific policy suggestions such as effective control of the real estate market and the stock market. The results of Johansen cointegration test in the traditional econometrics correlation analysis show that there is a long-term cointegration relationship between Chinese real estate market and stock market. The results of Granger causality test show that there is a one-way linear Granger causality between Chinese real estate market and stock market, and the stock market dominates the relationship between them. The results of impulse response function analysis show that there is a positive correlation between the two markets. In addition, the copula correlation analysis shows that there is a symmetrical tail correlation between the two markets. The results show that the positive extremum and negative extremum have the same influence on the relationship between the two markets, and the subprime mortgage crisis will affect the correlation between the Chinese real estate market and the stock market. These results are of great significance to investor portfolio allocation and government macro-policy formulation.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F299.23;F832.51

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