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本文对我国房地产市场和股票市场之间的相关性进行了实证研究,首先应用单位根检验,协整检验,误差修正模型以及VAR模型来分析两市场之间的长期相关性,并进一步应用极值理论来研究两市场是否存在极端波动的相依性。结果表明房地产销售价格指数与上证综合指数之间不具有协整关系,VAR模型结果显示房市和股市之间相互影响,其中房价对股价的影响远大于股价对房价的影响。极值相关性分析的结果显示股市和房市极大值之间存在较强风险传导性,所以投资于两个市场时不能起到分散风险的作用。
This paper conducts an empirical study on the correlation between the real estate market and the stock market in our country. Firstly, the long-term correlation between the two markets is analyzed by unit root test, cointegration test, error correction model and VAR model, and then the extreme value Theory to study the existence of extreme volatility of the two markets dependent. The results show that there is no cointegration relationship between the real estate sales price index and the Shanghai Composite Index. The VAR model shows the interaction between the housing market and the stock market. The impact of the housing price on the stock price is much larger than the stock price. The result of the extreme correlation analysis shows that there is strong risk conductivity between the stock market and the maximum of the housing market, so investment in the two markets can not play the role of diversification risk.