中国股票市场与房地产市场的动态相关性及其驱动因素研究  

Research on Dynamic Correlation Between China’s Stock Market and Real Estate Market and Its Driving Factors

作　　者：蒋彧[1] 陈鹏 JIANG Yu;CHEN Peng(School of Business,Nanjing University,210093;Soochow Securities Research Institute,215028)

机构地区：[1]南京大学商学院,210093 [2]东吴证券研究所,215028

出　　处：《上海经济研究》2020年第11期92-103,共12页Shanghai Journal of Economics

基　　金：教育部人文社会科学研究一般项目“我国房地产市场的波动特征及其驱动因素研究”(批准号:17YJC79006)的阶段性成果之一。

摘　　要：股票市场和房地产市场之间的关系历来是受到广泛关注的热点问题。本文基于2005-2017年中国股票市场和房地产市场数据,运用DCC-GARCH模型,重点考察两个市场间关系的动态特征,结果发现:两个市场间的动态相关系数呈现出明显的阶段性变化,2013年前主要表现为正相关关系,2014年以来表现为负相关关系。进一步从宏观经济因素、市场因素以及外部因素出发,分析两个市场间关系动态变化的驱动因素,结果表明:GDP增速、货币供应量、利率变化和新常态等宏观经济因素,房地产调控政策等市场因素,以及金融危机等外部因素,对两个市场间的动态相关性有显著影响。本文研究结论对股票市场和房地产市场相关政策的制定以及市场秩序的维护具有一定的参考价值,对投资者资产的合理配置具有一定的指导意义。The relationship between stock market and real estate market has always been a hot issue that received widespread attention.Based on the data of China’s stock market and real estate market in 2005-2017,this paper applies the DCC-GARCH model to investigate the dynamic characteristics of the relationship between the two markets.Results indicate that the dynamic correlation between the two markets shows a significant phase change,that is,the correlation is positive before 2013 and is negative since 2014 in general.We further study the driving factors of the dynamic correlation between the two markets from the perspective of macroeconomic factors,market factors and external factors.The results show that macroeconomic factors such as GDP growth,money supply,interest rate and new normal,market factor such as real estate control policies and external factor such as financial crisis have significant effects on the dynamic correlation between the two markets.Our study provides certain references for the formulation of relevant policies and the maintenance of market order for the stock market and real estate market,and has certain guiding significance for the rational allocation of investor assets.

关 键 词：股票市场 房地产市场 动态相关系数 驱动因素 DCC-GARCH模型 

分 类 号：F293.35[经济管理—国民经济]