| 我国房地产市场与股票市场的波动相关性研究 |
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| 引用本文： | 彭兴庭.我国房地产市场与股票市场的波动相关性研究[J].北京理工大学学报(社会科学版),2011,13(5):39-43. |
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| 作者姓名： | 彭兴庭 |
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| 作者单位： | 1.深圳证券交易所, 深圳 518028 |
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| 摘 要： | 我国股市和房市的收益率都存在明显的GARCH效应，相比股市，房市的投资者更加厌恶风险。在样本期内，无论是房市，还是股市，利好消息对市场波动的影响，均要大于利空消息对市场波动的影响。换言之，我国的房市和股市都不存在明显的杠杆效应。房市和股市之间的波动也存在溢出效应，而且是单向的，即房地产市场的波动将引起股票市场的波动。
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| 关 键 词： | 房地产市场 股票市场 波动相关性 收益率 |
| 收稿时间： | 8/8/2010 12:00:00 AM |
Study on the Correlation between the Real Estate Market and the Stock Market of China |
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| PENG Xingting.Study on the Correlation between the Real Estate Market and the Stock Market of China[J].Journal of Beijing Institute of Technology(Social Sciences Edition),2011,13(5):39-43. |
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| Authors: | PENG Xingting |
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| Institution: | 1.Post Doctoral Laboratory of Shenzhen Stock Exchange, Shenzhen 518028 |
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| Abstract: | A noticeable GARCH effect exists in the return rate of the real estate market and the stock market.Compared with the stock market,investments in the real estate are more risk-averse.During the sample period,whether in the real estate market or the stock market,the influence of good news to the market fluctuation is on average greater than that of bad news.In other words,there exists no evident leverage effect among the real estate market and the stock market in China.However,a mono-spillover effect exists among them,which means the fluctuation of the real estate market will give rise to that of the stock market. |
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| Keywords: | eal estate market stock market fluctuation correlation return rate |
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