本文關鍵詞：我國房地產(chǎn)市場與股票市場互動關系研究　出處：《天津財經(jīng)大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 房地產(chǎn)市場 股票市場 互動關系

【摘要】：自1998年我國房地產(chǎn)市場改革以來,房地產(chǎn)和股票市場發(fā)展迅猛,兩個市場吸引了龐大的資金流,房產(chǎn)和股票已成為我國居民最主要的兩類投資對象,尤其是房地產(chǎn)行業(yè)經(jīng)過十六年的發(fā)展已經(jīng)成為我國的支柱產(chǎn)業(yè),二者對于中國經(jīng)濟的騰飛做出的巨大貢獻是不言而喻的。必須指出的是,雖然兩個市場都為中國經(jīng)濟的發(fā)展注入了新鮮的血液,但我國房價和股價都不理性,過去的十年房地產(chǎn)一路高歌猛進,房價虛高,而股票市場卻表現(xiàn)的大起大落,股價波幅過大,這兩個市場已儼然成為我國重要的風險積聚場所,所以在當前我國不斷深化經(jīng)濟體制改革和產(chǎn)業(yè)結構調(diào)整的關鍵時期,揭示房地產(chǎn)市場和股票市場的內(nèi)在聯(lián)系,對于投資者優(yōu)化投資組合以及政府制定宏觀調(diào)整政策具有重要的學術意義和實際意義。論文回顧了我國房市和股市的發(fā)展歷程,從四個角度(資產(chǎn)組合理論、財富效應、信貸作用和宏觀經(jīng)濟因素)深入闡述了兩個市場互動關系的作用機理,在構建向量自回歸模型的基礎上,采用協(xié)整檢驗法、格蘭杰因果關系檢驗法和脈沖響應分析法分三個階段對中國的房市和股市間的互動關系進行實證探究,最終得出以下結論,1999-2005年間股市和房市呈現(xiàn)弱的負相關性,并且此階段房市占據(jù)主導地位；2006-2009年間股市和房市呈現(xiàn)出較顯著的正相關性,此時股市占據(jù)主導地位；2010-2013年間股市和房市的作用關系較為復雜,實證檢驗結果不顯著。實證章節(jié)最后一部分詳細闡明、解釋了三個階段出現(xiàn)不同互動關系的原因,并且就協(xié)調(diào)發(fā)展我國房地產(chǎn)市場和股票市場提出了一些建設性的政策建議。
[Abstract]:Since the real estate market reform in 1998, the real estate and stock market has developed rapidly, the two markets have attracted huge capital flow, real estate and stock has become the most important two types of investment objects of Chinese residents. In particular, the real estate industry has become the pillar industry of our country after 16 years of development, both of which have made great contribution to the rapid development of China's economy is self-evident. It must be pointed out. Although both markets have injected fresh blood into the development of China's economy, China's housing prices and stock prices are irrational, the past decade of real estate has been soaring, real estate prices are high. However, the stock market has shown great ups and downs, the volatility of the stock price is too large, these two markets have become an important place for risk accumulation in China. Therefore, in the key period of deepening the economic system reform and industrial structure adjustment, the paper reveals the internal relationship between the real estate market and the stock market. It is of great academic and practical significance for investors to optimize their portfolios and the government to formulate macro-adjustment policies. This paper reviews the development of China's housing market and stock market from four perspectives (portfolio theory). The mechanism of interaction between the two markets is expounded in depth. Based on the construction of vector autoregressive model, cointegration test method is adopted. Granger causality test and impulse response analysis are divided into three stages to explore the interactive relationship between the housing market and the stock market in China, and finally draw the following conclusions. From 1999 to 2005, the stock market and the housing market showed weak negative correlation, and the housing market dominated in this period; From 2006 to 2009, the stock market and the housing market showed a significant positive correlation, at this time the stock market occupied a dominant position; From 2010 to 2013, the relationship between stock market and housing market is more complex, the empirical test results are not significant. The last part of the empirical chapter explains the three stages of different interaction in detail. And put forward some constructive policy suggestions to coordinate the development of our real estate market and stock market.
【學位授予單位】：天津財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F299.23;F832.51

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