本文關(guān)鍵詞： 股票市場 房地產(chǎn)市場 VAR　出處：《湘潭大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：自改革開放以來，中國股票市場和房地產(chǎn)市場逐漸發(fā)展壯大，成為投資者最重要的兩種投資手段，同時也成為資本市場的主要風(fēng)險積累場所。多次歷史事件印證股票市場和房地產(chǎn)市場形成的多重利益鏈會使原本脆弱的金融環(huán)境進一步惡化。因此把握好股票市場和房地產(chǎn)市場運行的關(guān)系，對于實現(xiàn)兩個市場可持續(xù)發(fā)展和金融體系穩(wěn)定運行具有重要意義。通過對股票市場和房地產(chǎn)市場關(guān)聯(lián)效應(yīng)的分析，不僅能為我國居民投資決策提供支持，而且對國家進行宏觀調(diào)控以及完善金融市場監(jiān)管機制具有參考價值。 本文通過對股票市場、房地產(chǎn)市場和外匯市場相互關(guān)系的研究，探討以外匯市場為媒介我國股票市場與房地產(chǎn)市場聯(lián)動關(guān)系的特征，分析三者之間相互作用的機理。首先對股票市場和房地產(chǎn)市場相關(guān)性的一般理論進行闡述，并分析兩者相互影響的傳導(dǎo)機制，隨后指出外匯將以媒介的方式通過貿(mào)易余額、國際資本、貨幣供應(yīng)和心理預(yù)期等方式影響股票市場和房地產(chǎn)市場之間的聯(lián)動關(guān)系。然后運用計量經(jīng)濟模型，本文選取2005年至2013年上證綜合指數(shù)、上證國房景氣指數(shù)和美元匯率期均價進行研究。本文首先應(yīng)用ADF方法檢驗各變量的平穩(wěn)性，檢驗結(jié)果表明三個變量在時期內(nèi)的時間序列數(shù)據(jù)均為一階單整；再運用VAR模型和Johansen協(xié)整方法考察以外匯為媒介的上證指數(shù)和房地產(chǎn)市場國房景氣指數(shù)的長期相關(guān)性，在此基礎(chǔ)上，，利用Granger因果檢驗驗證三者的因果關(guān)系。 實證分析的結(jié)果表明：我國股票市場和房地產(chǎn)市場存在長期互動關(guān)系，并且這種相關(guān)性隨著外匯環(huán)境的變化而改變。受到股市的財富效應(yīng)的引導(dǎo)，上證指數(shù)的上漲能夠推動房地產(chǎn)市場的發(fā)展；但是房地產(chǎn)市場所造成的財富效應(yīng)作用并非特別突出，其市場內(nèi)的變動對于股票價格的上升存在負向影響。不僅如此，人民幣持續(xù)升值或者升值預(yù)期會進一步推動股票市場和房地產(chǎn)市場的發(fā)展；當股票市場或者房地產(chǎn)市場受到?jīng)_擊時，海外短期資本的流失也將加速兩個市場的衰落。最后本文根據(jù)不同時期國家的政策進行兩個階段實證研究，發(fā)現(xiàn)經(jīng)濟背景和政策制度對股票市場和房地產(chǎn)市場的聯(lián)動作用會產(chǎn)生影響，在一定程度上解釋了之前國內(nèi)學(xué)者研究結(jié)果不一的現(xiàn)象。
[Abstract]:Since the reform and opening up, China's stock market and real estate market have gradually developed and grown, becoming the two most important investment means for investors. At the same time, it has also become the main place of risk accumulation in the capital market. Many historical events have proved that the multiple profit chains formed by the stock market and the real estate market will further worsen the fragile financial environment. Therefore, grasp the stock market well. The relationship between the market and the operation of the real estate market, It is of great significance to realize the sustainable development of the two markets and the stable operation of the financial system. Through the analysis of the related effects of the stock market and the real estate market, it can not only provide support for the investment decision of the residents in our country, Moreover, it has reference value for the country to carry out macro-control and perfect the supervision mechanism of financial market. Based on the study of the relationship among stock market, real estate market and foreign exchange market, this paper discusses the characteristics of the linkage between stock market and real estate market in China, which is mediated by foreign exchange market. This paper analyzes the mechanism of the interaction between the three. Firstly, it expounds the general theory of the correlation between the stock market and the real estate market, and analyzes the transmission mechanism of their mutual influence, and then points out that foreign exchange will pass through the trade balance through the medium. International capital, money supply and psychological expectation influence the linkage between stock market and real estate market. Then using econometric model, this paper selects Shanghai Composite Index from 2005 to 2013. Firstly, the ADF method is used to test the stability of each variable. The results show that the time series data of the three variables in the period are all one-order and single-integer. Then using VAR model and Johansen cointegration method to investigate the long-term correlation between Shanghai stock index and real estate housing boom index using foreign exchange as the medium. On this basis, Granger causality test is used to verify their causality. The results of empirical analysis show that there is a long-term interaction between the stock market and the real estate market in China, and this correlation changes with the change of the foreign exchange environment, which is guided by the wealth effect of the stock market. The rise in the Shanghai stock index can promote the development of the real estate market; however, the wealth effect caused by the real estate market is not particularly prominent, and changes in the market have a negative impact on the rise in stock prices. The continued appreciation or appreciation of the RMB is expected to further promote the development of the stock market and the real estate market; when the stock market or real estate market is hit, The loss of overseas short-term capital will also accelerate the decline of the two markets. It is found that the economic background and policy system will have an impact on the linkage between the stock market and the real estate market, which to some extent explains the different results of previous studies by domestic scholars.
【學(xué)位授予單位】：湘潭大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F299.23;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 彭興庭;;我國房地產(chǎn)市場與股票市場的波動相關(guān)性研究[J];北京理工大學(xué)學(xué)報(社會科學(xué)版);2011年05期

2 沈悅;盧文兵;;中國股票價格與房地產(chǎn)價格關(guān)聯(lián)性研究[J];當代經(jīng)濟科學(xué);2008年04期

3 巴曙松;覃川桃;朱元倩;;中國股票市場與房地產(chǎn)市場的聯(lián)動關(guān)系[J];系統(tǒng)工程;2009年09期

4 汪昌云;現(xiàn)代西方匯率理論與實證研究綜述[J];國際金融研究;2003年11期

5 張斌,何帆;如何調(diào)整人民幣匯率政策:目標、方案和時機[J];國際經(jīng)濟評論;2005年02期

6 皮舜;武康平;;中國房地產(chǎn)市場與金融市場發(fā)展關(guān)系的研究[J];管理工程學(xué)報;2006年02期

7 余元全;康莊;;房價與股價的互動關(guān)系研究——基于重慶市的實證分析[J];價格理論與實踐;2009年07期

8 葉德磊;陳欣;;利率水平、股票指數(shù)與資本的國際流動——理論模型與實證檢驗[J];世界經(jīng)濟研究;2011年04期

9 易綱,范敏;人民幣匯率的決定因素及走勢分析[J];經(jīng)濟研究;1997年10期

10 方舟;倪玉娟;莊金良;;貨幣政策沖擊對股票市場流動性的影響——基于Markov區(qū)制轉(zhuǎn)換VAR模型的實證研究[J];金融研究;2011年07期

本文編號：1506624