本文關(guān)鍵詞： 香港房地產(chǎn) 動(dòng)態(tài)相關(guān)性 通脹對(duì)沖 投資組合　出處：《華中科技大學(xué)》2013年博士論文　論文類型：學(xué)位論文

【摘要】：房地產(chǎn)在經(jīng)濟(jì)生活中具有不可替代的作用,其不僅為居民生活等提供必要的場(chǎng)所,同時(shí)也是居民整體財(cái)富的重要組成部分,且具有較強(qiáng)的投資投機(jī)功能。作為連接實(shí)體經(jīng)濟(jì)和虛擬經(jīng)濟(jì)的紐帶,房地產(chǎn)市場(chǎng)直接關(guān)系著經(jīng)濟(jì)的繁榮程度,與國民經(jīng)濟(jì)中多個(gè)行業(yè)都有高度的關(guān)聯(lián)性,和金融行業(yè)以及整個(gè)金融體系更是具有非常緊密的聯(lián)系。在這一背景下,研究房地產(chǎn)市場(chǎng)與關(guān)聯(lián)市場(chǎng)間的相關(guān)性,不僅具有內(nèi)在的邏輯支持,而且具有較強(qiáng)的現(xiàn)實(shí)意義,一方面有助于市場(chǎng)投資的開展,另一方面有利于監(jiān)管部門理解市場(chǎng)環(huán)境并制定相應(yīng)的調(diào)控策略。 由于香港房地產(chǎn)市場(chǎng)具有國際化、金融化等特點(diǎn),且在香港經(jīng)濟(jì)中占據(jù)支柱地位,數(shù)據(jù)也更為齊全,具有較好的研究特性,因此本論文選取其作為主要的考察對(duì)象。同時(shí)由于香港地區(qū)與內(nèi)地的特殊關(guān)系,針對(duì)香港房地產(chǎn)市場(chǎng)的研究也會(huì)對(duì)內(nèi)地市場(chǎng)的相關(guān)研究起到一定的參考和促進(jìn)作用。全文分四個(gè)部分研究了香港房地產(chǎn)與關(guān)聯(lián)市場(chǎng)相關(guān)性的四個(gè)子項(xiàng)及相應(yīng)的衍生問題,主要研究內(nèi)容和創(chuàng)新成果如下： 首先,采用DCC-GARCH模型對(duì)香港房地產(chǎn)市場(chǎng)與股票市場(chǎng)間的動(dòng)態(tài)相關(guān)性以及動(dòng)態(tài)溢出效應(yīng)進(jìn)行了刻畫與研究。研究發(fā)現(xiàn)兩個(gè)指數(shù)回報(bào)間的動(dòng)態(tài)相關(guān)性程度較低,波動(dòng)范圍僅在6%到13%之間,說明兩個(gè)市場(chǎng)間具有相對(duì)的獨(dú)立性。與此同時(shí),該動(dòng)態(tài)相關(guān)性在樣本期內(nèi)的兩次金融危機(jī)期間都達(dá)到了相對(duì)較高的程度。股票市場(chǎng)對(duì)房地產(chǎn)市場(chǎng)具有較高程度的動(dòng)態(tài)溢出效應(yīng),該溢出效應(yīng)在2008年末金融危機(jī)環(huán)境下達(dá)到最大,這也進(jìn)一步驗(yàn)證了特殊情況下金融資產(chǎn)間作用加強(qiáng)的說法,而房地產(chǎn)市場(chǎng)對(duì)股票市場(chǎng)則不存在顯著的溢出效應(yīng)。 其次,引入有能力刻畫外部因素對(duì)動(dòng)態(tài)相關(guān)性產(chǎn)生影響的DSTCC-GARCH模型,結(jié)合VAR模型,研究了香港四個(gè)地區(qū)房地產(chǎn)市場(chǎng)之間的動(dòng)態(tài)相關(guān)關(guān)系。研究發(fā)現(xiàn)銀行最優(yōu)惠貸款利率和滯后的恒生指數(shù)年回報(bào)兩個(gè)外部因素對(duì)這些動(dòng)態(tài)相關(guān)性表現(xiàn)出較為顯著的影響。港島與九龍、新界西之間的相關(guān)程度較高,九龍與新界東、新界西之間的相關(guān)性程度較低,港島與新界東之間的動(dòng)態(tài)相關(guān)性呈現(xiàn)出一個(gè)與其他五組動(dòng)態(tài)相關(guān)性都不同的緩慢向上的趨勢(shì)。此外,六組動(dòng)態(tài)相關(guān)性均在兩次金融危機(jī)前后呈現(xiàn)出局部的高點(diǎn)。 再次,通過將香港房地產(chǎn)細(xì)分為五類不同面積的住宅,將香港通脹率細(xì)分為綜合通脹率和三種針對(duì)不同消費(fèi)水平家庭的通脹率,更具針對(duì)性的研究了長期均衡模型和短期誤差修正模型下住宅房地產(chǎn)對(duì)沖預(yù)期通脹和非預(yù)期通脹的能力,從一個(gè)重要側(cè)面反映了房地產(chǎn)與商品、勞務(wù)、消費(fèi)等市場(chǎng)間的關(guān)系。研究發(fā)現(xiàn)各類住宅對(duì)各類通脹的非預(yù)期成分都具有較強(qiáng)的長期和短期對(duì)沖能力。長期而言,各類住宅針對(duì)各類通脹的預(yù)期成分都有一定的對(duì)沖能力,小面積住宅能力稍強(qiáng)。短期來看,對(duì)于消費(fèi)層次較低的居民各種面積的住宅均具備一定的預(yù)期通脹對(duì)沖能力,中層消費(fèi)民眾的對(duì)沖結(jié)果則與整體情況類似,由70平米到99.9平米的住宅提供最佳的預(yù)期通脹對(duì)沖,對(duì)于高消費(fèi)人群僅面積較大的住宅可以提供一定的預(yù)期通脹對(duì)沖。 最后,選取恒生房地產(chǎn)基金指數(shù)、恒生公共事業(yè)指數(shù)和Hibor隔夜利率的日度數(shù)據(jù)來分別描述香港地區(qū)房地產(chǎn)證券資產(chǎn)、股票資產(chǎn)和無風(fēng)險(xiǎn)資產(chǎn)的走勢(shì)情況,采用DCC-GARCH模型得到三種資產(chǎn)間動(dòng)態(tài)相關(guān)性,然后結(jié)合投資組合理論給出了逐日調(diào)整的最優(yōu)動(dòng)態(tài)投資組合。研究發(fā)現(xiàn)三種資產(chǎn)的配比具有時(shí)變特性,不過相對(duì)而言較為穩(wěn)定,其中房地產(chǎn)基金指數(shù)在整個(gè)投資組合中始終占比最大。動(dòng)態(tài)配置中極值的出現(xiàn)時(shí)間非常接近房地產(chǎn)基金指數(shù)回報(bào)與公共事業(yè)指數(shù)回報(bào)間動(dòng)態(tài)相關(guān)性的極值出現(xiàn)時(shí)間,說明這兩個(gè)指數(shù)回報(bào)間的動(dòng)態(tài)相關(guān)性在配置動(dòng)態(tài)最優(yōu)投資組合時(shí)影響最大。
[Abstract]:The real estate has an irreplaceable role in the economic life , which not only provides the necessary places for the residents ' life , but also plays an important part in the whole wealth of the residents , and has a strong investment speculation function . In this context , the real estate market is directly related to the degree of prosperity of the economy , and has a very close relationship with the financial industry and the whole financial system . In this context , the research on the correlation between the real estate market and the associated market has a strong practical significance , on the one hand , it contributes to the development of market investment , and on the other hand , it is beneficial to the supervision department to understand the market environment and formulate corresponding regulation strategies . Since Hong Kong ' s real estate market has the characteristics of internationalization , finance and so on , and occupies the pillar position in the economy of Hong Kong , the data is more complete and has better research characteristics , so the research on the real estate market of Hong Kong will play a certain reference and promotion due to the special relationship between the Hong Kong region and the Mainland . The four sub - items and the corresponding derivative issues of the relevance of the real estate and related market in Hong Kong are studied in this paper . The main research contents and the innovative results are as follows : Firstly , the dynamic dependence of the real estate market and the stock market and the dynamic spillover effect were studied and studied by DCC - ARCH model . The study found that the dynamic correlation degree between the two indexes was relatively low , and the fluctuation range was only between 6 % and 13 % . Secondly , the dynamic dependence of the real estate market in Hong Kong was studied by introducing the DSTCC - ARCH model with the influence of external factors on the dynamic correlation . The study found that the correlation between Hong Kong Island and Kowloon and New Territories West was relatively low . The dynamic correlation between Hong Kong Island and the New Territories East and the New Territories West showed a slow upward trend with the other five dynamic correlations . Thirdly , by dividing Hong Kong real estate into five types of residential buildings with different areas , the inflation rate of Hong Kong is divided into comprehensive inflation rate and three kinds of inflation rate aiming at different consumption levels . Finally , the trend of real estate securities assets , stock assets and non - risk assets in Hong Kong is described by selecting Hang Seng Real Estate Fund Index , Hang Seng Public Utility Index and Hibor overnight interest rate data . The dynamic correlation between three kinds of assets is obtained by using DCC - ARCH model . The research finds that the ratio of three assets has time - varying characteristics , but is relatively stable . The occurrence time of the extreme value in dynamic configuration is close to the extreme value of dynamic correlation between real estate fund index return and public utility index return .

【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F127;F299.27

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