中国房地产上市公司股票收益率波动实证研究  

An Empirical Study on the Fluctuations of Stock Returns in Real Estate Listed Companies in China

作　　者：曹国华[1] 何燕[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400044

出　　处：《重庆大学学报（社会科学版）》2011年第6期39-46,共8页Journal of Chongqing University(Social Science Edition)

基　　金：国家社会科学基金项目(08BYJ154)

摘　　要：文章将ARCH家族模型引入中国房地产上市公司的行业和个股收益率波动性研究,结果发现:房地产上市公司前期收益率波动对未来影响呈现逐渐衰减趋势,利好消息引起的收益率波动比同等程度的利坏消息引起的收益率波动幅度大,大多数房地产上市公司个股期望收益与期望风险之间不存在显著的相关关系。通过实证结果可以做出简单判断,中国房地产市场的收益和风险还不具有成熟市场的属性,最后提出健全房地产市场与股票市场的相关对策。companies and This paper industry in nies＇ impact on the future that of the same degree of leads ARCH models into the study of fluctuations of stock returns in real estate listed China. We conclude that： fluctuations in the early returns of real estate listed compa- show gradually decline trend; the fluctuations leading by Good news will be greater than bad news; There is no significant correlation between expected benefits and expected risks in most of the real estate listed companies. It can be judged that benefits and risks in real estate listed compa- nies don＇ t have the properties of mature markets. At last, we propose countermeasures about how to improve the real estate market and the stock market.

关 键 词：房地产市场 股票市场 收益率波动 ARCH模型 

分 类 号：F830.91[经济管理—金融学]