本文選題：股票市場　切入點：房地產(chǎn)市場　出處：《東北財經(jīng)大學(xué)》2016年碩士論文　論文類型：學(xué)位論文

【摘要】：在全球一體化進程不斷加快的時代背景下,全球金融市場關(guān)系越來越緊密,因此許多學(xué)者開始研究金融市場之間的波動相關(guān)性。股票市場和房地產(chǎn)市場作為我國主要的資本市場,自建立以來,取得了非常大的進步,但是在發(fā)展的過程中股票市場和房地產(chǎn)市場都暴露出了發(fā)展的弊端,如波動幅度比較大,價格波動也比較頻繁,而且波動不是相互獨立的,具有某種關(guān)聯(lián)性。房地產(chǎn)具有消費屬性,現(xiàn)已逐漸具有投資屬性,房產(chǎn)和股票已成為人們主要關(guān)注的投資工具,股價的漲跌和房價的變動都會改變居民的財富存量,從而改變居民的收入分配、消費決策,進而影響整個經(jīng)濟社會的資源配置和供需平衡。而且我們發(fā)現(xiàn)在兩個市場價格波動中,兩者在不同時間段呈現(xiàn)出不同的動態(tài)關(guān)系,這種動態(tài)相關(guān)性在一定程度上反映了人們在消費與投資上的心理變化以及政策在其中發(fā)揮的作用。因此揭示兩個市場收益率在不同宏觀經(jīng)濟條件下的相關(guān)性,不僅可以促進中國票市場和房地產(chǎn)市場的進一步發(fā)展和完善,而且可以給宏觀經(jīng)濟政策實施者以及廣大投資者一些有意義的參考。近年來,國內(nèi)外學(xué)者對股市和房市的相關(guān)關(guān)系進行了較多的實證研究,但二者到底呈現(xiàn)什么關(guān)系,卻是眾說紛紜。基于國內(nèi)外相關(guān)文獻(xiàn)的研究,了解國內(nèi)外的研究視角和研究方法,本文以金融危機為界限劃分為兩個樣本區(qū)間,在考慮傳統(tǒng)計量方法的基礎(chǔ)上,引入波動溢出效應(yīng)模型VAR-GARCH-BEKK和動態(tài)相關(guān)性模型DCC-GARCH模型,進一步分析股市和房市的波動溢出效應(yīng)和動態(tài)相關(guān)性,用Matlab和Eviews參數(shù)估計,全面的掌握股市和房市的內(nèi)在互聯(lián)關(guān)系。本文根據(jù)我國股市和房市的特點,結(jié)合理論分析和實證分析,對我國股市收益率和房市收益率之間的關(guān)系進行分析研究。首先,從微觀和宏觀兩個角度在理論上分析我國股市與房市的互動關(guān)系,然后采用ADF單位根檢驗、VAR模型、脈沖響應(yīng)函數(shù)分析、格蘭杰因果檢驗、VAR-GARCH-BEKK波動溢出效應(yīng)檢驗以及DCC-GARCH動態(tài)分析等計量方法對股市和房市收益率之間的波動相關(guān)性做實證研究。根據(jù)實證結(jié)果得出,股市價格和房市價格的波動都受前期波動的影響,而且波動都存在明顯的聚集性,2005-2015年這段時間里,房市與股市之間具有顯著的單向波動傳遞效應(yīng),股市的價格變動會傳遞到房市;兩個市場收益率的相關(guān)系數(shù)是變化的,整體上具有正的相關(guān)性;股價變化是房價變化的格蘭杰原因。金融危機前后股市和房市的收益率呈現(xiàn)出不同的關(guān)系�？傮w上,在兩個市場的互聯(lián)關(guān)系中,幾乎是股市具有主導(dǎo)作用。文章最后對不同階段出現(xiàn)不同相關(guān)關(guān)系進行詳細(xì)分析,并提出可實施的政策建議。
[Abstract]:In the context of the accelerating process of global integration, the global financial markets are becoming more and more closely related. Therefore, many scholars have begun to study the volatility correlation between financial markets. As the main capital market in China, stock market and real estate market have made great progress since their establishment. However, in the process of development, both the stock market and the real estate market have exposed the disadvantages of development. For example, the volatility is relatively large, the price fluctuates more frequently, and the fluctuations are not independent of each other. There is a certain correlation. Real estate has the property of consumption, now gradually has the attribute of investment, the real estate and the stock have become the main investment tool that people pay attention to, the rise and fall of the stock price and the change of the house price will change the wealth stock of the resident. Thus changing residents' income distribution and consumption decisions, thus affecting the allocation of resources and the balance of supply and demand of the whole economy and society. Moreover, we find that in the two market price fluctuations, there are different dynamic relationships between the two in different time periods. This dynamic correlation reflects, to some extent, the psychological changes in consumption and investment and the role of policy in it. It can not only promote the further development and improvement of China's ticket market and real estate market, but also provide some meaningful references for macroeconomic policy implementers and investors. Scholars at home and abroad have carried out more empirical research on the relationship between stock market and housing market, but there are different opinions on what the relationship between them is. Based on the research of relevant literature at home and abroad, we can understand the research perspective and research methods at home and abroad. In this paper, the financial crisis is divided into two sample intervals. The volatility spillover effect model (VAR-GARCH-BEKK) and the dynamic correlation model (DCC-GARCH) are introduced on the basis of the traditional econometric methods. The volatility spillover effect and dynamic correlation of stock market and housing market are further analyzed, and the intrinsic interrelation between stock market and housing market is comprehensively grasped by Matlab and Eviews parameter estimation. According to the characteristics of stock market and housing market in China, Combined with theoretical analysis and empirical analysis, this paper analyzes the relationship between the return rate of stock market and the rate of return of housing market in China. Firstly, it theoretically analyzes the interactive relationship between stock market and housing market from the micro and macro perspectives. Then the ADF unit root test is used to test the VAR model, and the impulse response function is analyzed. Granger causality test VAR-GARCH-BEKK volatility spillover effect test and DCC-GARCH dynamic analysis are used to study the volatility correlation between stock market and housing market. The volatility of stock market price and housing market price is affected by the previous fluctuation, and the volatility has obvious agglomeration during the period 2005-2015, there is a significant one-way volatility transfer effect between the housing market and the stock market. The price change of the stock market will pass to the housing market, the correlation coefficient of the two markets' yield is variable, the whole has the positive correlation; The change of stock price is the Granger reason for the change of house price. Before and after the financial crisis, the yield of stock market and housing market show different relationship. It is almost the stock market that plays a leading role. Finally, the article analyzes the different correlation relations in different stages in detail, and puts forward some policy suggestions that can be implemented.
【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.51;F299.23

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