發(fā)布時間：2018-04-16 19:42

  本文選題：上海市房地產(chǎn)市場 + 弱有效性　； 參考：《華東師范大學》2014年碩士論文

【摘要】：房地產(chǎn)市場是經(jīng)濟系統(tǒng)的重要組成部分,由于其價值量和利潤空間大于一般資本市場,所以成為了投資者的熱衷領(lǐng)域,大量投資和投機行為的涌入提高了房地產(chǎn)市場價格。這種現(xiàn)狀一方面是有利的,對中國經(jīng)濟做出了重要貢獻,但是另一方面由于住房緊系著民生問題,房價上漲過快導致低收入群體無力承擔高房價而面臨嚴重的住房困難。所以探討房地產(chǎn)市場價格的形成軌跡及對信息的反映狀況,驗證房地產(chǎn)市場是否有效,對于完善房地產(chǎn)市場的發(fā)展具有顯著的意義。 本文以上海市房地產(chǎn)市場為研究對象,數(shù)據(jù)選取于中房上海指數(shù)2005年第一季度至2013年第四季度的季度數(shù)據(jù),為了提高檢驗的精確度,將房地產(chǎn)市場細分為新房市場和二手房市場分別開展弱有效性的實證檢驗。新房市場選用了城市綜合指數(shù)、住宅指數(shù)、寫字樓指數(shù)和商鋪指數(shù),二手房市場選用了銷售價格指數(shù)和租賃價格指數(shù),總共216組檢測數(shù)據(jù)。弱有效性的檢驗運用了隨機游走模型理論,選用單位根檢驗和序列相關(guān)性檢驗兩種方法。單位根檢驗結(jié)果顯示上海市各細分市場的有效性不一致,其中新房市場的寫字樓市場和商鋪市場,二手房市場的住房租賃市場達到了弱有效性,新房市場的住宅市場和二手房市場的房屋銷售市場沒有達到弱有效性。序列相關(guān)性檢驗結(jié)果則是上海市房地產(chǎn)市場各個細分市場和整體市場均尚未達到弱有效性。結(jié)合兩種檢測結(jié)果可以認為,上海市房地產(chǎn)市場整體上尚未達到弱有效性,房屋價格不遵循隨機游走過程,投資者可以在市場上獲取額外收益。 由于檢驗到上海市房地產(chǎn)市場未達到弱有效性,即房地產(chǎn)價格不能完全反應市場歷史信息,那么為了解釋其對市場信息的反應程度,本文采用向量自回歸模型檢驗上海市房屋價格對土地交易情況、房地產(chǎn)投資額、城市居民人均可支配收入和GDP變化的反應情況,選取了上海市1995年至2012年的上述5個變量總共90組年度數(shù)據(jù)。協(xié)整檢驗的結(jié)果為,長期內(nèi),上海市房地產(chǎn)市場價格對城市居民人均可支配收入和GDP的變化反映比較敏感；向量誤差修正模型顯示,短期內(nèi),上海市房地產(chǎn)市場價格對土地交易情況和房地產(chǎn)投資額的反映程度顯著;進一步采用脈沖響應函數(shù)和方差分解分析各變量在受到?jīng)_擊后對房地產(chǎn)市場價格的影響情況,結(jié)果顯示各變量對房價均產(chǎn)生影響,且影響程度隨著時間逐漸減弱,其中城市居民人均可支配收入和GDP對房價變動的影響程度較其他兩個變量高。
[Abstract]:The real estate market is an important part of the economic system, because its value and profit space is larger than the ordinary capital market, so it has become a keen field of investors, a large number of investment and speculative behavior to increase the real estate market prices.On the one hand, this kind of situation is advantageous, has made important contribution to Chinese economy, but on the other hand, because housing is tight to people's livelihood problem, the house price rises too fast causes the low income group to be unable to afford the high housing price, therefore faces the serious housing difficulty.Therefore, it is of great significance to discuss the formation track of real estate market price and reflect the information to verify whether the real estate market is effective or not, and to perfect the development of real estate market.This paper takes the real estate market of Shanghai as the research object. The data are selected from the first quarter of 2005 to the fourth quarter of 2013 of Shanghai Index of Zhongfang, in order to improve the accuracy of the test.The real estate market is divided into the new housing market and the second-hand housing market to carry out the empirical test of weak effectiveness.The new housing market selected the city composite index, housing index, office index and shop index, the second-hand housing market selected sales price index and rental price index, a total of 216 sets of test data.The theory of random walk model is used to test the weak validity, and two methods, unit root test and sequence correlation test, are used.The results of unit root test show that the effectiveness of the subdivision markets in Shanghai is not consistent. Among them, the office and commercial markets in the new housing market and the housing rental market in the second-hand housing market have achieved weak effectiveness.New housing market housing market and second-hand housing market housing sales market has not reached weak effectiveness.The result of sequential correlation test is that the market segments and the whole market of Shanghai real estate market have not yet reached the weak efficiency.Combined with the two test results, it can be concluded that the Shanghai real estate market as a whole has not yet reached a weak efficiency, housing prices do not follow the random walk process, investors can obtain additional income in the market.Since the test shows that the real estate market in Shanghai has not reached a weak validity, that is, the real estate price cannot fully reflect the historical information of the market, then in order to explain the degree of its reaction to the market information,This paper uses the vector autoregressive model to test the response of housing prices in Shanghai to land transactions, real estate investment, per capita disposable income of urban residents and GDP changes.A total of 90 sets of annual data were selected from 1995 to 2012 in Shanghai.The results of cointegration test show that, in the long run, the price of Shanghai real estate market is sensitive to the change of per capita disposable income and GDP of urban residents, and the vector error correction model shows that, in the short term,The price of Shanghai real estate market reflects the land transaction situation and the real estate investment significantly, and the impulse response function and variance decomposition are used to analyze the impact of the variables on the real estate market price after the impact.The results show that each variable has an effect on house price, and the influence degree is gradually weakened with time. The influence of per capita disposable income and GDP on house price change is higher than that of the other two variables.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F299.23

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