金融危机和地产调控冲击下地产板块和整体股市的波动性研究

本文采用股票指数数据,通过BEKK-GJR-GARCH模型考察了地产板块和整体股市之间的均值溢出和波动溢出效应,并在此基础上进一步考察了在金融危机发生的特定时间窗口下,两者之间的波动溢出效应。此外,本文在引入表征危机事件和地产调控冲击的虚拟变量之后,考察了冲击对地产板块和整体股市波动性的影响。结果表明,地产板块和整体股市之间存在着显著的波动溢出效应,但两种溢出效应都存在明显的非对称性。地产板块对整体股市的波动溢出持续性很小,但冲击会加剧波动;反之,整体股市对地产板块的波动溢出则具备持续性,冲击更强烈。波动溢出在2008年金融危机和2015年股灾期间存在变化,直接冲击作用均减弱,但非对称性依旧突出。危机和地产调控对于地产板块和整体股市的波动性存在明确影响:直接来看,2010年的房市调控影响幅度最大,超过2015年股灾和2008年金融危机的影响,这一点值得房市调控政策制定者注意;间接来看,六次事件中的五次均对地产板块和整体股市之间的相关性有影响,普遍性很高,因此,风险监管层有必要关注不同冲击下股市内部相关性的变化。

An Empirical Study on the Volatility of the Real Estate Sector and the Overall Stock Market in the Shocks of Financial Crisis and Real Estate Regulations

In a BEKK—GJR—GARCH model, this paper presents the mean spillover effects between the real estate sector and the overall stock market, hereunder explores the volatility spillover at the specific times when the 2008 financial crisis and the 2015 stock market crash broken out. In addition, this paper also observes the impact of these shocks on the volatility of the real estate sector and the overall stock market by introducing dummy variables of the crisis events and the shocks of real estate regulations. The empirical model in this paper takes asymmetric factors into account and adopts the generalized error distribution (GED) to tackle the heavy tail issue. It is a positive contribution to the present literature. It is found that there are significant volatility spillover effects between the real estate sector and the overall stock market despite of the non-robustness of the mean spillover, and the asymmetry always exists in both spillover effects. Specifically, the impact of the real estate sector on the whole market lasts shortly but the shock exacerbates the volatility. On the contrary, the impact of the whole stock market on the real estate sector lasts persistently with a stronger shock. However, the volatility spillovers in the 2008 financial crisis and the 2015 stock crash changed, particularly the direct shock weakened from one on the other. It might be caused by the weakening linkage between the two markets, but a prominence exists in asymmetry. After introducing dummy variables of the crisis events and the shocks of real estate regulations, the results show that the crisis events and the real estate regulations wielded obvious impacts on the volatility of the real estate sector and the whole stock market. Looking in one direct way, the strongest impact came from the real estate regulations in 2010, which exceeded those from the stock crash in 2015 and the financial crisis in 2008, which needs to be attentive by the real estate policy makers. In another indirect way, five out of six crisis events exerted clouts on the correlation between the real estate sector and the whole stock market, which was highly prevailing. And such, market regulators need to be careful about the changes of the internal correlations in the stock market under various shocks.