金融危机和地产调控冲击下地产板块和整体股市的波动性研究
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摘要
本文采用股票指数数据,通过BEKK-GJR-GARCH模型考察了地产板块和整体股市之间的均值溢出和波动溢出效应,并在此基础上进一步考察了在金融危机发生的特定时间窗口下,两者之间的波动溢出效应。此外,本文在引入表征危机事件和地产调控冲击的虚拟变量之后,考察了冲击对地产板块和整体股市波动性的影响。结果表明,地产板块和整体股市之间存在着显著的波动溢出效应,但两种溢出效应都存在明显的非对称性。地产板块对整体股市的波动溢出持续性很小,但冲击会加剧波动;反之,整体股市对地产板块的波动溢出则具备持续性,冲击更强烈。波动溢出在2008年金融危机和2015年股灾期间存在变化,直接冲击作用均减弱,但非对称性依旧突出。危机和地产调控对于地产板块和整体股市的波动性存在明确影响:直接来看,2010年的房市调控影响幅度最大,超过2015年股灾和2008年金融危机的影响,这一点值得房市调控政策制定者注意;间接来看,六次事件中的五次均对地产板块和整体股市之间的相关性有影响,普遍性很高,因此,风险监管层有必要关注不同冲击下股市内部相关性的变化。
In a BEKK-GJR-GARCH model, this paper presents the mean spillover effects between the real estate sector and the overall stock market, hereunder explores the volatility spillover at the specific times when the 2008 financial crisis and the 2015 stock market crash broken out. In addition, this paper also observes the impact of these shocks on the volatility of the real estate sector and the overall stock market by introducing dummy variables of the crisis events and the shocks of real estate regulations. It is found that there are significant volatility spillover effects between the real estate sector and the overall stock market despite of the non-robustness of the mean spillover, and the asymmetry always exists in both spillover effects. Specifically, the impact of the real estate sector on the whole market lasts shortly but the shock exacerbates the volatility. On the contrary, the impact of the whole stock market on the real estate sector lasts persistently with a stronger shock. However, the volatility spillovers in the 2008 financial crisis and the 2015 stock crash changed, particularly the direct shock weakened from one on the other. It might be caused by the weakening linkage between the two markets, but a prominence exists in asymmetry. The results show that the crisis events and the real estate regulations wielded obvious impacts on the volatility of the real estate sector and the whole stock market. Looking in one direct way, the strongest impact came from the real estate regulations in 2010, which exceeded those from the stock crash in 2015 and the financial crisis in 2008, which needs to be attentive by the real estate policy makers. In another indirect way, five out of six crisis events exerted clouts on the correlation between the real estate sector and the whole stock market, which was highly prevailing. And such, market regulators need to be careful about the changes of the internal correlations in the stock market under various shocks.
In a BEKK-GJR-GARCH model, this paper presents the mean spillover effects between the real estate sector and the overall stock market, hereunder explores the volatility spillover at the specific times when the 2008 financial crisis and the 2015 stock market crash broken out. In addition, this paper also observes the impact of these shocks on the volatility of the real estate sector and the overall stock market by introducing dummy variables of the crisis events and the shocks of real estate regulations. It is found that there are significant volatility spillover effects between the real estate sector and the overall stock market despite of the non-robustness of the mean spillover, and the asymmetry always exists in both spillover effects. Specifically, the impact of the real estate sector on the whole market lasts shortly but the shock exacerbates the volatility. On the contrary, the impact of the whole stock market on the real estate sector lasts persistently with a stronger shock. However, the volatility spillovers in the 2008 financial crisis and the 2015 stock crash changed, particularly the direct shock weakened from one on the other. It might be caused by the weakening linkage between the two markets, but a prominence exists in asymmetry. The results show that the crisis events and the real estate regulations wielded obvious impacts on the volatility of the real estate sector and the whole stock market. Looking in one direct way, the strongest impact came from the real estate regulations in 2010, which exceeded those from the stock crash in 2015 and the financial crisis in 2008, which needs to be attentive by the real estate policy makers. In another indirect way, five out of six crisis events exerted clouts on the correlation between the real estate sector and the whole stock market, which was highly prevailing. And such, market regulators need to be careful about the changes of the internal correlations in the stock market under various shocks.
引文
[1]龚剑,孟捷. 中国房地产业积累的社会结构——围绕“支柱产业”概念的考察[J]. 上海财经大学学报, 2015, 17(1):22-31.
[2]戚逸康,袁圆,李连发.我国房地产板块与整体股市的溢出效应以及风险相关性——来自实证分析的证据[J]. 上海经济研究, 2018(6):58-67.
[3]刘璐, 韩浩. 我国保险市场与银行市场间的风险溢出效应研究——基于上市银行和保险公司的实证分析[J]. 保险研究, 2016(12):3-14.
[4]陈迅, 胡成春, 花拥军. 我国银行业与房地产业极端风险溢出效应研究[J]. 系统工程, 2017(8):127-133.
[5]袁圆, 戚逸康, 刘国山. 我国货币政策与股票市场以及房地产板块的溢出效应分析[J]. 数理统计与管理, 2018(3):520-532.
[6]岳正坤, 张勇. 货币市场、债券市场对沪深300指数溢出效应的实证研究[J]. 宏观经济研究, 2014(3):100-108.
[7]熊正德, 文慧, 熊一鹏. 我国外汇市场与股票市场间波动溢出效应实证研究——基于小波多分辨的多元BEKK-GARCH(1,1)模型分析[J]. 中国管理科学, 2015, 23(4):30-38.
[8]李政, 郝毅, 袁瑾. 在岸离岸人民币利率极端风险溢出研究[J]. 统计研究, 2018, 35(2):29-39.
[9]王曦, 朱立挺, 王凯立. 我国货币政策是否关注资产价格?——基于马尔科夫区制转换BEKK多元GARCH模型[J]. 金融研究, 2017(11):1-17.
[10]Adrian T, Brunnermeier M K. CoVaR[R]. National Bureau of Economic Research, 2011.
[11]Ross S A. Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy[J]. Journal of Finance, 1989, 44(1):1-17.
[12]Bekiros S D. Contagion, Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets[J]. International Review of Financial Analysis, 2014, 33(33):58-69.
[13]赵留彦, 王一鸣. A、B股之间的信息流动与波动溢出[J]. 金融研究, 2003(10):37-52.
[14]胡秋灵, 马丽. 我国股票市场和债券市场波动溢出效应分析[J]. 金融研究, 2011(10):198-206.
[15]耿志祥, 孙祁祥. 金融危机和自然灾害对保险股票市场的影响与溢出效应检验[J]. 金融研究, 2016(5):65-81.
[16]Engle R F. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation[J]. Econometrica, 1982, 50(4):987-1007.
[17]Bollerslevb T. Generalized Autoregressive Conditional Heteroskedasticity[J]. Journal of Econometrics, 1986, 31(3):307-327.
[18]Engle R F, Kroner K F. Multivariate Simultaneous Generalized Arch[J]. Econometric Theory, 1995, 11(1):122-150.
[19]Glosten L R, Jagannathan R, Runkle D E. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks[J]. Journal of Finance, 1993, 48(5):1779-1801.
[20]Nelson D B. Conditional Heteroskedasticity in Asset Returns: A New Approach[J]. Econometrica: Journal of the Econometric Society, 1991: 347-370.
[21]庄岩. 中国农产品价格波动特征的实证研究——基于广义误差分布的 ARCH 类模型[J]. 统计与信息论坛, 2012, 27(6): 59-65.
[22]柳会珍, 顾岚. 股票收益率波动和极值关系研究[J]. 统计研究, 2006 (10): 68-71.
[23]王晓辉, 等. 基于多元分析的人民币汇率波动率预测[J]. 数理统计与管理, 2014 (3): 467-477.
[24]Kaiser T. One-factor-Garch Models for German Stocks: Estimation and Forecasting[R]. Tübinger Diskussionsbeitr?ge, 1996.
[25]Chen C R, Su Y, Huang Y. Hourly Index Return Autocorrelation and Conditional Volatility in an EAR-GJR-GARCH Model with Generalized Error Distribution[J]. Journal of Empirical Finance, 2008, 15(4): 789-798.
[26]Schwert G W. Stock Volatility during the Recent Financial Crisis[J]. European Financial Management, 2011, 17(5):789-805.
[27]Kotkatvuori-?rnberg J, Nikkinen J, ?ij? J. Stock Market Correlations during the Financial Crisis of 2008-2009: Evidence from 50 Equity Markets[J]. International Review of Financial Analysis, 2013, 28(327):70-78.
(1)详情见《国务院办公厅关于切实稳定住房价格的通知》。
(2)详情见国务院发布的《关于坚决遏制部分城市房价过快上涨的通知》。
[2]戚逸康,袁圆,李连发.我国房地产板块与整体股市的溢出效应以及风险相关性——来自实证分析的证据[J]. 上海经济研究, 2018(6):58-67.
[3]刘璐, 韩浩. 我国保险市场与银行市场间的风险溢出效应研究——基于上市银行和保险公司的实证分析[J]. 保险研究, 2016(12):3-14.
[4]陈迅, 胡成春, 花拥军. 我国银行业与房地产业极端风险溢出效应研究[J]. 系统工程, 2017(8):127-133.
[5]袁圆, 戚逸康, 刘国山. 我国货币政策与股票市场以及房地产板块的溢出效应分析[J]. 数理统计与管理, 2018(3):520-532.
[6]岳正坤, 张勇. 货币市场、债券市场对沪深300指数溢出效应的实证研究[J]. 宏观经济研究, 2014(3):100-108.
[7]熊正德, 文慧, 熊一鹏. 我国外汇市场与股票市场间波动溢出效应实证研究——基于小波多分辨的多元BEKK-GARCH(1,1)模型分析[J]. 中国管理科学, 2015, 23(4):30-38.
[8]李政, 郝毅, 袁瑾. 在岸离岸人民币利率极端风险溢出研究[J]. 统计研究, 2018, 35(2):29-39.
[9]王曦, 朱立挺, 王凯立. 我国货币政策是否关注资产价格?——基于马尔科夫区制转换BEKK多元GARCH模型[J]. 金融研究, 2017(11):1-17.
[10]Adrian T, Brunnermeier M K. CoVaR[R]. National Bureau of Economic Research, 2011.
[11]Ross S A. Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy[J]. Journal of Finance, 1989, 44(1):1-17.
[12]Bekiros S D. Contagion, Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets[J]. International Review of Financial Analysis, 2014, 33(33):58-69.
[13]赵留彦, 王一鸣. A、B股之间的信息流动与波动溢出[J]. 金融研究, 2003(10):37-52.
[14]胡秋灵, 马丽. 我国股票市场和债券市场波动溢出效应分析[J]. 金融研究, 2011(10):198-206.
[15]耿志祥, 孙祁祥. 金融危机和自然灾害对保险股票市场的影响与溢出效应检验[J]. 金融研究, 2016(5):65-81.
[16]Engle R F. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation[J]. Econometrica, 1982, 50(4):987-1007.
[17]Bollerslevb T. Generalized Autoregressive Conditional Heteroskedasticity[J]. Journal of Econometrics, 1986, 31(3):307-327.
[18]Engle R F, Kroner K F. Multivariate Simultaneous Generalized Arch[J]. Econometric Theory, 1995, 11(1):122-150.
[19]Glosten L R, Jagannathan R, Runkle D E. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks[J]. Journal of Finance, 1993, 48(5):1779-1801.
[20]Nelson D B. Conditional Heteroskedasticity in Asset Returns: A New Approach[J]. Econometrica: Journal of the Econometric Society, 1991: 347-370.
[21]庄岩. 中国农产品价格波动特征的实证研究——基于广义误差分布的 ARCH 类模型[J]. 统计与信息论坛, 2012, 27(6): 59-65.
[22]柳会珍, 顾岚. 股票收益率波动和极值关系研究[J]. 统计研究, 2006 (10): 68-71.
[23]王晓辉, 等. 基于多元分析的人民币汇率波动率预测[J]. 数理统计与管理, 2014 (3): 467-477.
[24]Kaiser T. One-factor-Garch Models for German Stocks: Estimation and Forecasting[R]. Tübinger Diskussionsbeitr?ge, 1996.
[25]Chen C R, Su Y, Huang Y. Hourly Index Return Autocorrelation and Conditional Volatility in an EAR-GJR-GARCH Model with Generalized Error Distribution[J]. Journal of Empirical Finance, 2008, 15(4): 789-798.
[26]Schwert G W. Stock Volatility during the Recent Financial Crisis[J]. European Financial Management, 2011, 17(5):789-805.
[27]Kotkatvuori-?rnberg J, Nikkinen J, ?ij? J. Stock Market Correlations during the Financial Crisis of 2008-2009: Evidence from 50 Equity Markets[J]. International Review of Financial Analysis, 2013, 28(327):70-78.
(1)详情见《国务院办公厅关于切实稳定住房价格的通知》。
(2)详情见国务院发布的《关于坚决遏制部分城市房价过快上涨的通知》。