本文選題：深港 + 房地產(chǎn)價(jià)格��； 參考：《云南財(cái)經(jīng)大學(xué)》2017年碩士論文

【摘要】：本文在對房地產(chǎn)價(jià)格相關(guān)理論分析的基礎(chǔ)上,從波動(dòng)性(volatility)角度研究了深圳和香港2006年01月至2015年12月期間房價(jià)的波動(dòng)性特征及其兩者之間的相關(guān)性。本文分析了深圳、香港房價(jià)的波動(dòng)相關(guān)性,也分析了造成深圳、香港房價(jià)波動(dòng)之影響因素,運(yùn)用了EGARCH模型以及BEKK-GARCH模型,得出的主要結(jié)論有:2006年01月至2015年12月期間深圳、香港兩地房價(jià)波動(dòng)有著與金融市場相似的集聚效應(yīng),具體表現(xiàn)為小的波動(dòng)帶來小的波動(dòng),而大的波動(dòng)則意味著更大的波動(dòng),這表明在深圳和香港房地產(chǎn)市場上,有著明顯的慣性房地產(chǎn)投資,也就是說有非理性投資的可能,所以其房地產(chǎn)價(jià)格變動(dòng)較為明顯的受到前期信息因素的影響。為進(jìn)一步搞清楚深圳以及香港之間房地產(chǎn)價(jià)格波動(dòng)之外溢效應(yīng),文章還運(yùn)用了BEKK-GARCH模型來分析,得出結(jié)論:深圳和香港之間同時(shí)存在正、負(fù)向的波動(dòng)性外溢效應(yīng),房價(jià)既互為引導(dǎo),又互相制衡。一方面香港房價(jià)對深圳房價(jià)影響較大,香港房價(jià)對深圳房價(jià)具有較強(qiáng)的帶動(dòng)效應(yīng);另一方面,深圳房價(jià)波動(dòng)也會(huì)加劇香港房價(jià)的變動(dòng)。從影響因素來看,通貨膨脹對深圳和香港的當(dāng)期房價(jià)造成的動(dòng)態(tài)沖擊最顯著,然后依次為:購房者情緒、房地產(chǎn)投資、匯率、利率,其中利率對兩地房地產(chǎn)市場價(jià)格的影響不顯著。這一方面表明,深圳和香港作為中國東南部沿海重要的金融城市,影響房價(jià)變動(dòng)的因素有其一致性,會(huì)相互帶動(dòng)發(fā)展,其房價(jià)都有局部過熱的可能;另一方面,其各自的影響系數(shù)又呈現(xiàn)差異,表明作為經(jīng)濟(jì)特區(qū)的深圳和作為國際化金融大都市的香港,兩個(gè)城市房價(jià)的動(dòng)態(tài)性波動(dòng)是不完全相同的:a.深圳和香港房價(jià)雖都有其長期增長趨勢,但從通貨膨脹、購房者情緒波動(dòng)和房地產(chǎn)投資對其的影響可以看出:香港房價(jià)較深圳房價(jià)具有更強(qiáng)的投機(jī)性;b.從匯率對兩地房價(jià)波動(dòng)的影響看出:香港房地產(chǎn)市場吸引外資的能力更強(qiáng),所以香港房價(jià)的波動(dòng)性也更大。本文力圖找出影響深圳和香港兩地房地產(chǎn)市場的各種要素,探尋引起二地房地產(chǎn)價(jià)格波動(dòng)的真正原因,以期為分析深圳和香港乃至全國房地產(chǎn)市場提供新的思路。在此基礎(chǔ)上,本文同時(shí)也對深圳、香港兩地房價(jià)走勢進(jìn)行了預(yù)測,可以讓政府部門、商業(yè)銀行、投資者等進(jìn)一步加深對深圳、香港兩個(gè)房地產(chǎn)市場的理解。
[Abstract]:Based on the theoretical analysis of real estate prices, this paper studies the volatility characteristics of housing prices in Shenzhen and Hong Kong from January 2006 to December 2015 and their correlation with each other from the perspective of volatility. This paper analyzes the correlation between the fluctuation of housing prices in Shenzhen and Hong Kong, and analyzes the factors that affect the volatility of house prices in Shenzhen and Hong Kong. The main conclusions are as follows: Shenzhen from January 2006 to December 2015, using EGARCH model and BEKK-GARCH model. The volatility of house prices in Hong Kong and Hong Kong has a similar agglomeration effect to that of financial markets, which is manifested in the fact that small fluctuations lead to small fluctuations, while large fluctuations mean greater volatility, which indicates that in Shenzhen and Hong Kong real estate markets, There are obvious inertia real estate investment, that is, irrational investment, so the real estate price change is obviously affected by the information factors. In order to further understand the spillover effect of real estate price volatility between Shenzhen and Hong Kong, the paper also uses BEKK-GARCH model to analyze the spillover effect of volatility between Shenzhen and Hong Kong, and concludes that there are both positive and negative spillover effects of volatility between Shenzhen and Hong Kong. Housing prices are both guidance and checks and balances. On the one hand, housing prices in Hong Kong have a strong impact on housing prices in Shenzhen, which has a strong driving effect; on the other hand, fluctuations in housing prices in Shenzhen will also aggravate the volatility of housing prices in Hong Kong. From the perspective of influencing factors, the dynamic impact of inflation on current housing prices in Shenzhen and Hong Kong is the most significant, followed by: home buyers' sentiment, real estate investment, exchange rate, interest rate. Interest rates on the real estate market prices between the two places are not significantly affected. This shows on the one hand that Shenzhen and Hong Kong are important financial cities along the southeast coast of China, and that the factors affecting the changes in house prices are consistent and will lead each other to develop, with the possibility of partial overheating of housing prices; on the other hand, Their influence coefficients are different, which indicates that the dynamic fluctuation of house prices in Shenzhen, as a special economic zone, and Hong Kong, as an international financial metropolis, is not exactly the same. Although both Shenzhen and Hong Kong house prices have their long-term trend of growth, we can see that Hong Kong house prices are more speculative than Shenzhen house prices, as can be seen from inflation, volatility of home buyers' sentiment and the impact of real estate investment on them. The impact of the exchange rate on house prices in both places shows that the Hong Kong real estate market is more capable of attracting foreign investment, so prices in Hong Kong are also more volatile. This paper tries to find out the factors that affect the real estate market of Shenzhen and Hong Kong, and to find out the real cause of the fluctuation of real estate price in Shenzhen and Hong Kong, so as to provide a new way of thinking for the analysis of real estate market in Shenzhen, Hong Kong and even the whole country. On this basis, this paper also forecasts the trend of housing prices in Shenzhen and Hong Kong, so that government departments, commercial banks and investors can further deepen their understanding of Shenzhen and Hong Kong real estate markets.
【學(xué)位授予單位】：云南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F299.23

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