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2008年美国金融危机爆发后,房地产市场与金融市场的关系越来越受到人们的重视。本文以地产股指数变化情况代表房地产市场的整体发展趋势,选取中国深圳证券交易所地产股和金融股为研究对象,利用能够兼顾收益与尾部风险相关性测度的FIGARCH模型,探讨中国地产股对金融股波动及收益的影响;并以次贷危机爆发为界将样本分成两部分进行对比分析。结果表明,我国地产股整体行情指数的波动风险和收益对金融股股票均具有显著的正向影响;地产波动风险在危机前的影响大于危机后,而地产收益的影响则在危机后更大。研究结论有助于相关部门制定更合理的调控和监管政策,促进中国股市更健康的发展。
After the U.S. financial crisis broke out in 2008, the relationship between the real estate market and the financial market has drawn more and more attention. In this paper, the real estate stock index changes on behalf of the overall development trend of the real estate market, select the China Shenzhen Stock Exchange real estate stocks and financial stocks as the research object, the use of both returns and tail risk correlation measure FIG FIG model to explore the Chinese real estate stocks for financial Stock volatility and earnings; and the sub-loan crisis broke the sample will be divided into two parts for comparative analysis. The results show that the volatility risk and return of the overall market index of real estate stocks in our country have a significant positive impact on the stocks of financial stocks. The risk of real estate fluctuation before the crisis is greater than that after the crisis, while the impact of real estate returns is greater after the crisis. The conclusions of the study will help relevant departments formulate more reasonable regulatory and regulatory policies to promote a more healthy development of the Chinese stock market.