基于CSAD非线性模型的房地产市场羊群行为研究  

Research on the Herd Behavior of Chinese Real Estate Market Based on Non-linear Test Model CSAD

作　　者：柯昇沛[1] 黄静[2] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052 [2]上海师范大学商学院,上海200234

出　　处：《管理评论》2012年第9期19-25,74,共8页Management Review

基　　金：国家自然科学基金项目(71103121);上海市哲学社会科学规划课题(2011EJL002);中国博士后科学基金项目(2011M500058);上海市高校青年教师培养项目(shsf002);教育部人文社会科学研究一般项目(11YJC630178);中国博士后特别资助(2012T50385)

摘　　要：本文借鉴行为金融学中的羊群行为理论,基于CSAD非线性模型,构建适合我国情况的房地产市场羊群行为的存在性、对称性和强化效应检验模型,利用27个省市近十年来"商品住宅"、"办公楼"和"商业营业用房"市场面板数据进行实证分析,得出主要结论:(1)随着房价的快速上涨,我国各省市"商品住宅"、"办公楼"和"商业营业用房"市场都存在明显的羊群行为;(2)"商品住宅"市场在交易量大小不同情况下皆存在明显的羊群行为,在收益率高低不同波动情况下呈现出非对称性;(3)"商品住宅"市场价格上涨与羊群行为程度加大之间已形成了相互强化的反馈效应。Learning from the herd behavior theory and the non-linear test model CSAD, this paper constructs the models to test the existence, symmetry and strengthening of the herd behavior in Chinese real estate market. Using the panel data in 27 provinces over the past decade to empirical analysis, we can draw some conclusions. Firstly, the herd behavior has been significant in China＇s real estate market with the rising of housing price over these years. Secondly, the herd behavior has presented asymmetry in the different circumstances, such as the level of real estate returns and trading volume. Thirdly, the reinforcing feedback effects between housing prices and the increasing degree of herd behavior have formed.

关 键 词：房地产市场 羊群行为 CSAD模型 

分 类 号：F224[经济管理—国民经济] F293.3