中国房地产股票价格风险溢出效应研究——基于SDSVaR模型的微观测度和解释  

Risk Spillover Effects at Micro Level of China Property Stocks——The Measure and Explanation based on SDSVaR Model

作　　者：余世暐 

机构地区：[1]中央财经大学中国金融发展研究院

出　　处：《价格理论与实践》2017年第8期96-99,共4页Price:Theory & Practice

摘　　要：本文基于EGARCH-SDSVa R模型,分市场剧烈波动、市场正常波动和市场平稳三种状态,对中国房地产个股价格的风险溢出效应进行了测度,并对其影响因素进行了解释。实证结果表明:在三种市场状态下,微观个股间都存在一定的风险溢出效应。随着市场波动性的增加,这种风险溢出效应明显增强;在三种市场状态下,风险接收方的资产规模、债务期限错配程度、市价对帐面价值溢价程度、盈利能力、限售股占比和市场贝塔系数都能显著地解释溢出效应的强弱。据此本文提出政策建议,在房地产上市公司风险监控方面应重点关注资产规模小、债务期限错配程度高、市价对账面价值比高、盈利能力弱、限售股占比小和市场贝塔系数高的公司。For the three different market states, we estimate the risk spillovers among 81 real estate stocks in China using EGARCH-SDSVa R Model. Then we employ the OLS regression to explain the risk spillovers. We show that the size of risk spillovers is about five times averagely as large when the market is in financial distress. Furthermore, we find that some characteristics of the risk receivers will increase the exposure to risk spillovers from other real estate stocks under the three different market states, such as small in total assets,debt maturity mismatching seriously, high in market-to-book value, low in ROE,small percentage of restricted shares and high in market beta. Therefore, the government should pay attention to the market states and thelistedcompanies with the disadvantageous characteristics.

关 键 词：房地产 股票价格 风险溢出效应 EGARCH-SDSVaR模型 

分 类 号：F224[经济管理—国民经济] F299.23F832.51