中国股票价格与房地产价格关联性研究  

A Study on the Relationship between Real Estate and Stock Prices in China

作　　者：沈悦[1] 卢文兵[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《当代经济科学》2008年第4期87-92,共6页Modern Economic Science

基　　金：国家社会科学基金(06XJL004)的资助

摘　　要：国际经验表明,房地产价格和股票价格的剧烈震荡之间存在紧密联系,一旦价格泡沫破灭,将给整体经济造成严重后果甚至导致经济衰退。近年来,我国房价虚高,股价大起大落,给经济发展带来了一系列不利影响。在这种背景下,揭示两者之间的内在联系对于抑制资产价格泡沫,促进股票市场和房地产市场健康发展非常必要。本文运用时间序列相关方法对我国股票市场与房地产市场的关系进行了实证研究,结果表明:房地产价格上涨对股票价格上升有显著影响,而股票价格上涨对房地产价格上升的影响较为微弱;房地产价格的上升与股票价格的上升存在两季左右的间隔,且两者呈现出螺旋式变化的趋势。对此,本文分析了产生这种现象的原因并提出了一些政策建议。International experiences show that close relationships exist between real estate price and stock market fluctuations. Serious consequences even economic recession may occur as the result of price bubble outbreak. China has experienced high real estate price and stock market fluctuations in recent years which bring about unfavorable impact on economic development. Thus it is important to study the relationship between real estate and stock prices. This paper empirically examines this relationship with co-integration model and VAR method. The results show that the real estate price is significant in explaining the stock index movements,while the stock index is found to be not significant to real estate price; that the time lag between real estate price change and stock price escalation is about six months with a spiraling pattern. We then propose policy recommendations.

关 键 词：房地产价格 股票价格 协整理论 VAR 

分 类 号：F224[经济管理—国民经济] F832.51F293.3