我国股票市场金融板块和地产板块联动效应的实证分析
|
摘要
一直以来,金融业和房地产业都是推动我国经济发展的两大重要行业,而这两者又是相互影响的。作为资本密集型产业的房地产市场,它高度依赖着金融市场。尤其是最近几年,随着我国房地产业的飞速发展以及我国金融市场的发展变化和房地产市场供求关系的变化,金融市场和房地产价格的关系结构也渐渐发生了变化。因此研究这两者之间的关系对于我国宏观经济的发展、经济政策的制定以及中国特色社会主义的建设都有重要的意义。
随着全球经济一体化进程的加快,各个金融市场之间甚至是同一市场的不同板块之间,其股票价格的相互影响、相互依赖与日俱增,而且还在某种程度上表现出相同的波动趋势,即存在联动效应。所谓股票市场板块之间的联动效应是指在某一时期或者某一特定时间段内,属于同一股票市场的不同板块内的股票价格或股票指数所出现的同涨同跌的现象。掌握板块之间联动效应的操作技巧,不仅有助于投资者及时发现并把握市场热点问题,增强交易的盈利性；而且有利于降低因板块整体下跌而带来的个股风险以及某一板块整体的下跌带来其他相关板块股票价格下跌的风险。许多研究表明金融业和房地产业紧密联系在一起,但是定性分析还不足以说明问题,也就不能准确度量二者的相互关系。因此为了更准确的研究二者之间的关系,本文采用定性分析与定量分析相结合的方法来研究金融业和房地产业之间的相互关系。
我国股票市场的金融板块和地产板块之间是否存在联动效应?存在什么样的联动效应?针对上述问题,本文首先进行了理论分析和国内外文献综述；然后进行了实证方法介绍；为了消除单纯使用指数的日收盘价异常值对实证结果的影响,实证部分选取了2001年7月2日到2010年9月30日的我国股票市场的金融指数和地产指数的每日开盘价、收盘价、最低价、最高价四者的算术平均值作为研究对象,通过Granger因果检验,发现金融指数和地产指数存在单向的Granger因果关系,更具体的说,地产指数影响金融指数；通过STR模型分析,得出金融指数和地产指数存在非线性的联动效应,地产指数对金融指数的影响相对较大而且不对称,在不同的条件下存在从一种线性关系到另一种线性关系的转化,即整体上呈非线性关系；最后根据实证分析结果和目前我国金融市场和房地产市场的现状,提出了一些能够促进我国股市发展及投资者投资策略的政策建议。
Financial and real estate market have been two important markets to promote our country's economy, and they influence each other. The real estate market is capital intensive industry, has a high degree of dependence on financial market. Especially in recent years, with the rapid development of real estate industry in our country and the changes of supply and demand of China's real estate market and the financial market. The relationship structure between the financial market and the real estate prices have gradually changed. So it is practical significance for the development of the macroeconomics, the formulation of economic policy and the construction of the socialism with Chinese characteristics to study the relationship between the financial and real estate market.
With the acceleration of the process of global economic integration, the dependence and influence among financial market even sectors increase day by day, and have shown a certain degree of the same volatility trend, namely Co-movement Effect. The stock market "Co-movement Effect" of the sectors refers to a phenomenon that in a period or a particular time, which belongs to the same stock market of the price or the index rise or fall together. Master the skills of co-movement that is helpful to discover and grasp the markets'hot things in time, and to strengthen the profit. At the same time, to avoid falling for co-movement of sectors which brings stocks'and other corresponding sectors'risk. Many studies have showed that the financial and real estate industry are closely together, but for qualitative analysis it is not enough to show problem and can't be accurately measure the relationship between them. So in order to study the relationship between them accurately, the paper make use of qualitative analysis and quantitative analysis together to study the relationship between the finance and real estate industry.Whether there exists the co-movement effect between the financial sectors and the real estate sectors or not? What kind of the co-movement effect? In response to those problems, firstly, the paper analyzes the theory and the domestic and foreign literature review, then introduces the empirical methods; In order to eliminate the influence of the abnormal values if use the index of the day closing price only, on the empirical part, the paper chooses our stock markets' financial index and real estate index of the day opening price, closing price, the lowest price and the highest price from July 2,2001 to September 30,2010, and takes the arithmetic mean of the four as research subject. Through the Granger causality test, it shows that financial index and real estate index have one-way Granger causality, namely real estate index influences financial,index; Through the STR model analysis, it shows that there exists nonlinearity co-movement effect between the financial index and the real estate index, and the real estate index has a large and asymmetric influence on the financial index. In different conditions, there exists transformation between a linear relationship and another.Namely, on the whole, the two indexes have a nonlinear relationship. At last, according to the result and the present situation of our country's financial market and real estate market, the paper proposes some policy suggestions which can promote the development of our country's stock market, as well as investors'investment strategy.
随着全球经济一体化进程的加快,各个金融市场之间甚至是同一市场的不同板块之间,其股票价格的相互影响、相互依赖与日俱增,而且还在某种程度上表现出相同的波动趋势,即存在联动效应。所谓股票市场板块之间的联动效应是指在某一时期或者某一特定时间段内,属于同一股票市场的不同板块内的股票价格或股票指数所出现的同涨同跌的现象。掌握板块之间联动效应的操作技巧,不仅有助于投资者及时发现并把握市场热点问题,增强交易的盈利性；而且有利于降低因板块整体下跌而带来的个股风险以及某一板块整体的下跌带来其他相关板块股票价格下跌的风险。许多研究表明金融业和房地产业紧密联系在一起,但是定性分析还不足以说明问题,也就不能准确度量二者的相互关系。因此为了更准确的研究二者之间的关系,本文采用定性分析与定量分析相结合的方法来研究金融业和房地产业之间的相互关系。
我国股票市场的金融板块和地产板块之间是否存在联动效应?存在什么样的联动效应?针对上述问题,本文首先进行了理论分析和国内外文献综述；然后进行了实证方法介绍；为了消除单纯使用指数的日收盘价异常值对实证结果的影响,实证部分选取了2001年7月2日到2010年9月30日的我国股票市场的金融指数和地产指数的每日开盘价、收盘价、最低价、最高价四者的算术平均值作为研究对象,通过Granger因果检验,发现金融指数和地产指数存在单向的Granger因果关系,更具体的说,地产指数影响金融指数；通过STR模型分析,得出金融指数和地产指数存在非线性的联动效应,地产指数对金融指数的影响相对较大而且不对称,在不同的条件下存在从一种线性关系到另一种线性关系的转化,即整体上呈非线性关系；最后根据实证分析结果和目前我国金融市场和房地产市场的现状,提出了一些能够促进我国股市发展及投资者投资策略的政策建议。
Financial and real estate market have been two important markets to promote our country's economy, and they influence each other. The real estate market is capital intensive industry, has a high degree of dependence on financial market. Especially in recent years, with the rapid development of real estate industry in our country and the changes of supply and demand of China's real estate market and the financial market. The relationship structure between the financial market and the real estate prices have gradually changed. So it is practical significance for the development of the macroeconomics, the formulation of economic policy and the construction of the socialism with Chinese characteristics to study the relationship between the financial and real estate market.
With the acceleration of the process of global economic integration, the dependence and influence among financial market even sectors increase day by day, and have shown a certain degree of the same volatility trend, namely Co-movement Effect. The stock market "Co-movement Effect" of the sectors refers to a phenomenon that in a period or a particular time, which belongs to the same stock market of the price or the index rise or fall together. Master the skills of co-movement that is helpful to discover and grasp the markets'hot things in time, and to strengthen the profit. At the same time, to avoid falling for co-movement of sectors which brings stocks'and other corresponding sectors'risk. Many studies have showed that the financial and real estate industry are closely together, but for qualitative analysis it is not enough to show problem and can't be accurately measure the relationship between them. So in order to study the relationship between them accurately, the paper make use of qualitative analysis and quantitative analysis together to study the relationship between the finance and real estate industry.Whether there exists the co-movement effect between the financial sectors and the real estate sectors or not? What kind of the co-movement effect? In response to those problems, firstly, the paper analyzes the theory and the domestic and foreign literature review, then introduces the empirical methods; In order to eliminate the influence of the abnormal values if use the index of the day closing price only, on the empirical part, the paper chooses our stock markets' financial index and real estate index of the day opening price, closing price, the lowest price and the highest price from July 2,2001 to September 30,2010, and takes the arithmetic mean of the four as research subject. Through the Granger causality test, it shows that financial index and real estate index have one-way Granger causality, namely real estate index influences financial,index; Through the STR model analysis, it shows that there exists nonlinearity co-movement effect between the financial index and the real estate index, and the real estate index has a large and asymmetric influence on the financial index. In different conditions, there exists transformation between a linear relationship and another.Namely, on the whole, the two indexes have a nonlinear relationship. At last, according to the result and the present situation of our country's financial market and real estate market, the paper proposes some policy suggestions which can promote the development of our country's stock market, as well as investors'investment strategy.
引文
[1]陈庆伟、程刚.我国股市板块效应研究[J].金融经济,2010(10)
[2]周筠.基于STR模型的中国与全球主要股指联动效应研究[D].大连：大连理工大学,2009.17-25
[3]何芳.证券间收益的联动效应及实证研究[D].武汉：武汉大学,2004.47-49
[4]麻晓芳.中国A股市场行业板块的波动性和相关性研究[D].合肥：合肥工业大学,2010.41-43
[5]陈鹏、郑翼村.中国股市“板块联动”现象分析[J].时代金融,2006(10)
[6]何诚颖.中国股市“板块现象”分析[J].经济研究,2001(12)
[7]武魏巍、龚玉晶. 中国股票市场板块轮动的机理研究[J].现代商贸工业,2010(11)
[8]杜伟锦、何桃富.我国证券市场的板块联动效应及模糊聚类分析[J].商业研究,2005(22)
[9]王菁媛.中国股市“板块效应”实证分析---以上海证券交易为例》[J].时代金融,2009(8)
[10]宋建鹏.中国金融市场与房地产市场波动相关性研究[D].北京：对外经济贸易大学,2009.15-25
[11]皮舜、武康平.中国房地产市场与金融市场发展关系的研究[J].管理工程学报,,2006(2)
[12]张炯、贾仁甫、张兵.2001～2008年我国房地产价格与金融市场关系的实证研究[J].建筑经济,2009(12)
[13]刘亚、张曙东.境内外金融市场联动效应：理论基础与文献综述[J].科学决策,2010(8)
[14]刘婧.中国证券市场非有效性分析-基于股价同步波动的实证检验[D].青岛：中国海洋大学,2010,47-48
[15]杨绮霞.内地与香港股市金融板块的联动性研究[D].北京：对外经济贸易大学,2007.5-6
[16]赵进文、闵捷.央行货币政策操作效果非对称性实证研究[J].经济研究,2005(2)
[17]赵进文、范继涛.经济增长与能源消费内在依存关系的实证研究[J].经济研究,2007(8)
[18]丁勇锦.中国内地股市与香港股市联动性研究[D].杭州：浙江大学,2008.5-9,43-44
[19]高铁梅.计量经济分析方法与建模—Eviews应用及实例[M].北京：清华大学出版社,2009
[20]赫尔穆特.鲁克波尔、马库斯.克莱茨希.应用时间序列计量经济学[M].北京：机械工业出版社,2008
[21]武康平、皮舜、鲁桂华. 中国房地产市场与金融市场共生性的一般均衡分析[J].数量经济技术经济研究,2004(10)
[22]李明贤,李学文.基于STR模型的金融机构信贷资金投放与中国经济增长的实证研究[J].系统工程,2009(1)
[23]刘沅沅、贺栋.基于GARCH模型对房地产板块和金融板块的风险分析[J].商业现代化,2010(3)
[24]张立华,穆瑞田.我国股票市场通信板块与其相近板块相关性的统计研究[J]河北理工大学学报,2010(4)
[25]李安定,刘惠娜,盛松成.上海房地产市场发展周期与金融运行关系研究[J]上海金融,2005(6)：4-7
[26]Terasvirta,T., Anderson,H,1992. "Characterizing Nonlinearities In Business Cycles Using Smooth Transition Autoregressive Models, Journal of Applied Econometrics", Vol.7.PP119-136
[27]Christoph, B,Stephan,W,2006,"The impact of the New Basel Capital Accord on real estate developers",Journal of Property Investment & Finance, Vol.24(1),PP7-26
[28]Okunev, J, Wilson, P.and Zurbruegg. R,2002"Relationships between Australian real estate and stock market prices-a case of market inefficiency",Journal of Forecasting.,Vol.21 (3),PP181-192
[29]Tong,H,1990,non-linear time series:a dynamical system approach, Oxford University Press
[30]Chan,K.S.,Tong,H.,1986. "On Estimating Thresholds in Autoregressive Models", Journal of Time Series Analysi,Vol.7,PP178-190.
[31]Granger,C, Terdsvirta,T.,1993.Modeling Economic Relationships, Oxford University Press
[32]David,C.Ling,Andy,Naranjo,1999, "The Integration of Commercial Real Estate Markets and Stock Markets",Real Estate Economics,Vol.273, PP483-515.
[33]Chan,K,Hameed,A.,2006, "Stock price synchronicity and analyst coverage in emerging markets",Journal of Financial Economics, Vol.80,PP115-147.
[34]DeLong,B,A,Shleifer,L,Waldmann,R,1990,"Noise Trader Risk in Financial Markets", Journal of Political Economy,Vol.98(4)PP703-738
[35]Johannsen,S,1988 "Statistical analysis of cointegration vectors", Journal of Economic Dynamics and Control Vol.12(6),PP231-254.
[36]FamaEugene,F,1970,"Efficient Capital markets:A Review of Theory and Empirical Work", Journal of Finance,Vol.5
[37]Agmon,T,1972, "The Relations Among Equity Markets:A Study of Share Price Co-Movements in the United States, United Kingdom, Germany and Japan", Journal of Finance,Vol.27,PP839-855.
[38]Barberis,N.,Shleifer,A.,2003,"Style Investing", Journal of Financial Economics,Vol.68,PP161-199
[39]Barberis,N.,Shleifer,A.,Wurgler,J.2005, "Comovement". Journal of Financial Economics, Vol.75,PP283-317.
[40]Lee,C,Shleifer,A.,Thaler,R.,1991. "Investor Sentiment and the Closed-end Fund Puzzle ",Journal of Finance, Vol.46,PP75-110
[2]周筠.基于STR模型的中国与全球主要股指联动效应研究[D].大连：大连理工大学,2009.17-25
[3]何芳.证券间收益的联动效应及实证研究[D].武汉：武汉大学,2004.47-49
[4]麻晓芳.中国A股市场行业板块的波动性和相关性研究[D].合肥：合肥工业大学,2010.41-43
[5]陈鹏、郑翼村.中国股市“板块联动”现象分析[J].时代金融,2006(10)
[6]何诚颖.中国股市“板块现象”分析[J].经济研究,2001(12)
[7]武魏巍、龚玉晶. 中国股票市场板块轮动的机理研究[J].现代商贸工业,2010(11)
[8]杜伟锦、何桃富.我国证券市场的板块联动效应及模糊聚类分析[J].商业研究,2005(22)
[9]王菁媛.中国股市“板块效应”实证分析---以上海证券交易为例》[J].时代金融,2009(8)
[10]宋建鹏.中国金融市场与房地产市场波动相关性研究[D].北京：对外经济贸易大学,2009.15-25
[11]皮舜、武康平.中国房地产市场与金融市场发展关系的研究[J].管理工程学报,,2006(2)
[12]张炯、贾仁甫、张兵.2001～2008年我国房地产价格与金融市场关系的实证研究[J].建筑经济,2009(12)
[13]刘亚、张曙东.境内外金融市场联动效应：理论基础与文献综述[J].科学决策,2010(8)
[14]刘婧.中国证券市场非有效性分析-基于股价同步波动的实证检验[D].青岛：中国海洋大学,2010,47-48
[15]杨绮霞.内地与香港股市金融板块的联动性研究[D].北京：对外经济贸易大学,2007.5-6
[16]赵进文、闵捷.央行货币政策操作效果非对称性实证研究[J].经济研究,2005(2)
[17]赵进文、范继涛.经济增长与能源消费内在依存关系的实证研究[J].经济研究,2007(8)
[18]丁勇锦.中国内地股市与香港股市联动性研究[D].杭州：浙江大学,2008.5-9,43-44
[19]高铁梅.计量经济分析方法与建模—Eviews应用及实例[M].北京：清华大学出版社,2009
[20]赫尔穆特.鲁克波尔、马库斯.克莱茨希.应用时间序列计量经济学[M].北京：机械工业出版社,2008
[21]武康平、皮舜、鲁桂华. 中国房地产市场与金融市场共生性的一般均衡分析[J].数量经济技术经济研究,2004(10)
[22]李明贤,李学文.基于STR模型的金融机构信贷资金投放与中国经济增长的实证研究[J].系统工程,2009(1)
[23]刘沅沅、贺栋.基于GARCH模型对房地产板块和金融板块的风险分析[J].商业现代化,2010(3)
[24]张立华,穆瑞田.我国股票市场通信板块与其相近板块相关性的统计研究[J]河北理工大学学报,2010(4)
[25]李安定,刘惠娜,盛松成.上海房地产市场发展周期与金融运行关系研究[J]上海金融,2005(6)：4-7
[26]Terasvirta,T., Anderson,H,1992. "Characterizing Nonlinearities In Business Cycles Using Smooth Transition Autoregressive Models, Journal of Applied Econometrics", Vol.7.PP119-136
[27]Christoph, B,Stephan,W,2006,"The impact of the New Basel Capital Accord on real estate developers",Journal of Property Investment & Finance, Vol.24(1),PP7-26
[28]Okunev, J, Wilson, P.and Zurbruegg. R,2002"Relationships between Australian real estate and stock market prices-a case of market inefficiency",Journal of Forecasting.,Vol.21 (3),PP181-192
[29]Tong,H,1990,non-linear time series:a dynamical system approach, Oxford University Press
[30]Chan,K.S.,Tong,H.,1986. "On Estimating Thresholds in Autoregressive Models", Journal of Time Series Analysi,Vol.7,PP178-190.
[31]Granger,C, Terdsvirta,T.,1993.Modeling Economic Relationships, Oxford University Press
[32]David,C.Ling,Andy,Naranjo,1999, "The Integration of Commercial Real Estate Markets and Stock Markets",Real Estate Economics,Vol.273, PP483-515.
[33]Chan,K,Hameed,A.,2006, "Stock price synchronicity and analyst coverage in emerging markets",Journal of Financial Economics, Vol.80,PP115-147.
[34]DeLong,B,A,Shleifer,L,Waldmann,R,1990,"Noise Trader Risk in Financial Markets", Journal of Political Economy,Vol.98(4)PP703-738
[35]Johannsen,S,1988 "Statistical analysis of cointegration vectors", Journal of Economic Dynamics and Control Vol.12(6),PP231-254.
[36]FamaEugene,F,1970,"Efficient Capital markets:A Review of Theory and Empirical Work", Journal of Finance,Vol.5
[37]Agmon,T,1972, "The Relations Among Equity Markets:A Study of Share Price Co-Movements in the United States, United Kingdom, Germany and Japan", Journal of Finance,Vol.27,PP839-855.
[38]Barberis,N.,Shleifer,A.,2003,"Style Investing", Journal of Financial Economics,Vol.68,PP161-199
[39]Barberis,N.,Shleifer,A.,Wurgler,J.2005, "Comovement". Journal of Financial Economics, Vol.75,PP283-317.
[40]Lee,C,Shleifer,A.,Thaler,R.,1991. "Investor Sentiment and the Closed-end Fund Puzzle ",Journal of Finance, Vol.46,PP75-110