本文關(guān)鍵詞： 房地產(chǎn)調(diào)控 有效性 長期記憶性 修正R/S分析 GPH譜回歸分析　出處：《西南政法大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：股票市場是國民經(jīng)濟(jì)發(fā)展的晴雨表，其能否有效發(fā)展取決于我國推行的調(diào)控政策的正確與否。我國宏觀經(jīng)濟(jì)調(diào)控政策的制定與實(shí)施，，時(shí)時(shí)牽動著市場的神經(jīng)，因此，股票市場作為經(jīng)濟(jì)運(yùn)行的先行者，總是最先反映著政策干預(yù)對市場的作用。同時(shí)，研究股票市場在宏觀經(jīng)濟(jì)政策實(shí)施之后的基本特征，不僅為該政策推行后的市場效果提供了直觀材料，也為該政策之后進(jìn)一步微調(diào)提供了有力的市場依據(jù)。 為應(yīng)對2008年的金融危機(jī)，防止經(jīng)濟(jì)的進(jìn)一步下滑，我國政府于2008年11月推出了促進(jìn)經(jīng)濟(jì)發(fā)展的四萬億投資計(jì)劃。實(shí)際市場結(jié)果顯示，該投資計(jì)劃不但有效防止了我國與世界經(jīng)濟(jì)的同步下滑，更促進(jìn)了我國經(jīng)濟(jì)的進(jìn)一步發(fā)展，但同時(shí)也造成一定的不良影響。經(jīng)濟(jì)發(fā)展伴隨著的是我國房地產(chǎn)市場價(jià)格的持續(xù)走高，因而為了防止房地產(chǎn)價(jià)格泡沫的出現(xiàn)，政府于2010年4月推出了被稱為史上最嚴(yán)厲的房地產(chǎn)調(diào)控政策——“新國十條”，用以規(guī)范市場并促進(jìn)其有效發(fā)展。而對于該政策是否能夠促進(jìn)市場的有效性，還存在一定的爭論，本文從股票市場的角度出發(fā)，通過金融時(shí)間序列理論模型（修正R/S分析和GPH譜回歸分析）檢驗(yàn)我國房地產(chǎn)調(diào)控政策實(shí)施前后股市房地產(chǎn)板塊的收益率序列、波動序列是否具有長期記憶性，進(jìn)而對該調(diào)控政策實(shí)施的恰當(dāng)與否進(jìn)行實(shí)證分析。研究結(jié)果表明，我國房地產(chǎn)調(diào)控政策降低了股市地產(chǎn)板塊的長期記憶性，增強(qiáng)了該類股票市場的有效性。 研究主要分為以下幾個(gè)步驟：首先，介紹政府干預(yù)與市場效率之間的關(guān)系，同時(shí)回顧對我國房地產(chǎn)調(diào)控政策是否有效的研究進(jìn)展，引出本文的現(xiàn)實(shí)意義；其次，闡述市場有效性理論的發(fā)展以及其與長期記憶之間的關(guān)系，描述檢驗(yàn)金融時(shí)間序列長期記憶性的理論模型及其主要統(tǒng)計(jì)特征；而后，通過應(yīng)用理論模型，對我國房地產(chǎn)調(diào)控政策出臺前后的收益率時(shí)間序列進(jìn)行實(shí)證檢驗(yàn)，詳細(xì)討論該政策出臺前后的地產(chǎn)指數(shù)長期記憶性的存在與否或變化情況；最后，得出本文的研究結(jié)論，對我國房地產(chǎn)調(diào)控政策能否促進(jìn)市場的有效發(fā)展進(jìn)行說明。
[Abstract]:The stock market is a barometer of the development of national economy, and its effective development depends on the correctness or not of the adjustment and control policies pursued by our country. The formulation and implementation of macroeconomic control policies in our country always affect the nerves of the market, so, As the forerunner of economic operation, the stock market always reflects the effect of policy intervention on the market first. At the same time, it studies the basic characteristics of the stock market after the implementation of macroeconomic policy. It not only provides the intuitionistic material for the market effect after the policy is carried out, but also provides a powerful market basis for further fine-tuning after the policy. In response to the 2008 financial crisis and to prevent further economic decline, the Chinese government launched a 4 tillion investment plan to promote economic development on November 2008. The actual market results show that. The investment plan has not only effectively prevented China from falling in step with the world economy, but also promoted the further development of our economy. But at the same time, it also causes some adverse effects. Economic development is accompanied by a sustained rise in the prices of the real estate market in China, so in order to prevent the emergence of real estate price bubbles, In April 2010, the government launched what is known as the most severe real estate regulation policy in history, "New country Ten" to regulate the market and promote its effective development. However, there is still some debate about whether the policy can promote the effectiveness of the market. From the point of view of stock market, this paper tests the stock market real estate return series before and after the implementation of real estate regulation policy through the financial time series theory model (modified R / S analysis and GPH spectral regression analysis). The results show that the real estate regulation policy reduces the long-term memory of the real estate sector of the stock market. Enhanced the effectiveness of this kind of stock market. The research is divided into the following steps: first, introduce the relationship between government intervention and market efficiency, at the same time review the research progress on the effectiveness of real estate regulation and control policies in China, leading to the practical significance of this paper; secondly, This paper expounds the development of market efficiency theory and its relationship with long-term memory, describes the theoretical model and its main statistical characteristics for testing the long-term memory of financial time series, and then applies the theoretical model. This paper empirically tests the time series of the return rate before and after the introduction of the real estate regulation policy in China, and discusses in detail the existence or change of the long-term memory of the real estate index before and after the introduction of the policy. Finally, the conclusion of this paper is drawn. Whether the real estate regulation policy in China can promote the effective development of the market.
【學(xué)位授予單位】：西南政法大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F123.16;F832.51

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