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本文运用Engle(2002)提出的DCC-GARCH模型(Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity model)检验了亚洲主要的发达市场:香港和新加坡房地产市场的波动性特征以及他们与日本和美国房地产市场波动性的动态相关性,并且对动态相关性的影响因素进行了回归分析。实证结果显示:房地产市场的一体化程度低于股票市场,洲际主导市场(日本)相对于国际主导市场(美国)对香港和新加坡房地产市场的波动性影响更为显著。同时,动态相关性与各个市场自身的波动性存在显著正相关关系,意味着投资者难以通过在地区内市场进行分散投资降低风险。
This paper examines the major developed markets in Asia using the DCC-GARCH model proposed by Engle (2002): the volatility of real estate markets in Hong Kong and Singapore, and their volatility in real estate markets in Japan and the United States The dynamic correlation of dynamic correlation was also analyzed. The empirical results show that the degree of integration of the real estate market is lower than that of the stock market. The influence of the intercontinental-dominated market (Japan) over the international-dominated market (United States) on the real estate market in Hong Kong and Singapore is even more significant. At the same time, there is a significant positive correlation between the dynamic correlation and the volatility of each market, which means that it is difficult for investors to reduce the risk by diversifying the investment in the regional markets.