【摘要】：房地產(chǎn)業(yè)和銀行業(yè)是推動中國經(jīng)濟(jì)發(fā)展的兩大最重要的支柱行業(yè)，這二者之間的關(guān)系十分密切。房地產(chǎn)業(yè)是資金密集型產(chǎn)業(yè)，銀行業(yè)是其資金的重要來源，伴隨著中國房地產(chǎn)業(yè)的快速發(fā)展，以及中國銀行業(yè)的改革與發(fā)展，房地產(chǎn)業(yè)和銀行業(yè)的關(guān)系也日漸緊密。 伴隨著全球經(jīng)濟(jì)一體化的步伐的加快，各國股票市場的不同板塊間乃至各國股票市場之間，股票的價格相互影響的程度日漸加劇，而且在一定程度上存在相同的波動趨勢，即這些市場和板塊間存在著聯(lián)動效應(yīng)。所謂股市板塊間的聯(lián)動效應(yīng)是指在某一時期或者某一特定時間段內(nèi)，同屬于一個股票市場的不同板塊的股票價格或者指數(shù)所表現(xiàn)出的同漲或者同跌的現(xiàn)象。理論和現(xiàn)實都表明，房地產(chǎn)業(yè)和銀行業(yè)緊密相連。因此，若能掌握這兩個板塊間的聯(lián)動效應(yīng)，既可以及時地根據(jù)其中一個板塊的漲勢確定另一個板塊的漲勢，增強(qiáng)盈利的能力；同時，也可以及時地發(fā)現(xiàn)并防范風(fēng)險的發(fā)生。本文首先對上證房地產(chǎn)板塊和銀行板塊之間的聯(lián)動性關(guān)系進(jìn)行定量的分析，之后定性地分析二者之間的聯(lián)動關(guān)系。 中國A股市場中房地產(chǎn)板塊和銀行板塊之間是否存在聯(lián)動效應(yīng)，存在聯(lián)動效應(yīng)的情況又如何？針對該問題，本位首先對于聯(lián)動性理論的研究成果進(jìn)行闡述，然后對國內(nèi)外關(guān)于銀行板塊和房地產(chǎn)板塊關(guān)系的文獻(xiàn)和中國上證房地產(chǎn)板塊和銀行板塊的現(xiàn)狀進(jìn)行介紹；選取數(shù)據(jù)和建立模型，本文選取2009年10月29日至2013年1月15日中國A股市場內(nèi)地銀行指數(shù)和內(nèi)地地產(chǎn)指數(shù)的日平均收益率作為研究對象，采用到的計量金融學(xué)分析方法包括簡單相關(guān)性分析、ADF檢驗、Granger因果檢驗等。實證檢驗之后，對中國上證房地產(chǎn)板塊和銀行板塊的聯(lián)動關(guān)系的實證原因進(jìn)行分析，得出二者確實存在聯(lián)動關(guān)系的結(jié)論，，二者互為彼此的格蘭杰因，并且房地產(chǎn)板塊對于銀行板塊的影響更為顯著，持續(xù)的時間也較久。最后是對二板塊投資的對策建議。
[Abstract]:Real estate and banking are the two most important pillar industries to promote China's economic development, and the relationship between them is very close. The real estate industry is a capital-intensive industry, and the banking industry is an important source of its funds. With the rapid development of China's real estate industry and the reform and development of China's banking industry, the relationship between the real estate industry and the banking industry is increasingly close. With the acceleration of the pace of global economic integration, the degree of mutual influence of stock prices between different sectors of the stock market and even between the stock markets of various countries is increasing day by day, and to a certain extent, there is the same fluctuating trend. That is, these markets and between the plate there is a linkage effect. The so-called linkage effect between the stock market plates refers to the same rise or fall of the stock price or index of different sectors belonging to the same stock market in a certain period or a certain period of time. Theory and reality show that real estate and banking are closely linked. Therefore, if we can grasp the linkage effect between the two plates, we can determine the rising trend of the other plate according to the rising trend of one plate in time, and enhance the ability of profit, at the same time, we can also detect and prevent the occurrence of risk in time. In this paper, the relationship between Shanghai real estate plate and banking plate is analyzed quantitatively, and then the linkage relationship between them is analyzed qualitatively. Is there a linkage effect between the real estate sector and the banking sector in the A-share market of China, and how about the existence of the linkage effect? In view of this problem, the standard firstly expatiates on the research results of linkage theory, and then introduces the literature about the relationship between bank plate and real estate plate at home and abroad and the current situation of real estate plate and bank plate of Shanghai Stock Exchange of China. From October 29, 2009 to January 15, 2013, the daily average rate of return of the mainland Bank Index and the mainland Real Estate Index of China's A-share market is selected as the research object. The econometric analysis methods used include simple correlation analysis, ADF test, Granger causality test and so on. After the empirical test, this paper analyzes the empirical reasons of the linkage between the real estate plate and the bank plate of Shanghai Stock Exchange of China, and draws the conclusion that there is a linkage relationship between the two, and the two are Grangein of each other. And the impact of the real estate sector on the banking sector is more significant, the duration of a long time. The last part is the countermeasures and suggestions for the second plate investment.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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