摘要
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。
The worldwide financial meltdown which caused by the USA subprime mortgage crisis broke out in 2008, It has led to the relationship between real estate market and financial market becoming more and more important. In this paper, we take real estate stock index as a variable that on behalf of the real estate development tendency, with Real Estate Stock index and Financial Stock index in Shenzhen Stock Exchange, use FIGARCH model that is able to measure the correlation of return and tail risk to study the impact of Real Estate Stock Market on Financial Stock Market＇s return and volatility. At the same time, we have a discussion of the United States Financial Crisis＇s impact on China market, and choose the date September 15, 2008 to break the sample into two sub-periods： pre-crisis and post-crisis to conduct a comparative analysis. Our findings reveal that the FIGARCH models which investigate the long memory of series are robust; There are a significant relationship be- tween real estate stocks and financial stocks, the volatility and return of real estate stocks have a significant positive impact on financial stocks; Moreover, it has a significant lagged influences, but because investors will be more cautions due to the emerging fluctuation in the real estate market, so the lagged impact is a negative value; Therefore, according to the principle of postponement generation of information, the predicted effect that real estate stock performance on financial stocks is negative. The pre-crisis impact of the real estate volatility is greater than in post-crisis, and the return＇s impact is greater in post-crisis. Given the significant impact of the real estate market on the financial industry, management department should strengthen the guidance and supervision of the real estate＇s development to make sure that financial market operate smoothly. The research findings will help to develop a more reasonable regulation and oversight policy, and make China＇s stock market more stable.
出处
《南开管理评论》
CSSCI
北大核心
2013年第4期154-160,共7页
Nankai Business Review
基金
国家自然科学基金项目(71271227)
教育部人文社会科学研究青年基金项目(11XJC790004)资助
关键词
地产股
金融股
FIGARCH模型
Real Estate Stock
Financial Stock
FIGARCH Models
Financial Crisis
