基于连续小波变换的房价与股价因果及联动关系  

Causality and Co-movement Relationship Basted on Continuous Wavelet Transform Between Housing Price and Stock Price

作　　者：王敏会[1] 尹晓翠[1] 刘伟[2] 张艺琳 WANG Minhui;YIN Xiaocui;LIU Wei;ZHANG Yilin(School of Science and Information Science, Qingdao Agricultural University, Qingdao 266109, China;School of Economics and Management, Qingdao Agricultural University;Barthurst Future Agri-Tech Institute of Qingdao Agricultural University)

机构地区：[1]青岛农业大学理学与信息科学学院,山东青岛266109 [2]青岛农业大学经济管理学院 [3]青岛农业大学巴瑟斯未来农业科技学院

出　　处：《青岛农业大学学报（自然科学版）》2022年第2期153-156,共4页Journal of Qingdao Agricultural University(Natural Science)

基　　金：青岛市双百调研工程项目(2021-B-29)。

摘　　要：房地产市场和股票市场是两个非常重要的市场,在我国经济和金融发展中发挥了关键性的作用。利用小波变换方法研究中国房价与股价之间的联动和因果关系,结果发现:2002年之后的中短周期内,房价和股价具有明显的联动性,说明两个市场之间的联系比较紧密;长周期内房价领先于股价,对股价具有显著影响作用。因此从长期看,房价变化带来的信贷价格效应对股价影响较大。The real estate market and the stock market are two very important markets,which play a key role in China’s economic and financial development.The wavelet transform method was used to study the co-movement and causal relationship between housing price and stock price in China.The results showed that in the short and medium cycles after 2002,housing price and stock price had obvious co-movement,indicating that the two markets were closely linked,while in long cycles,housing price was ahead of stock price,which had a significant impact on stock price.Therefore,in the long run,the credit price effect brought by changes in housing price has a greater impact on stock price.

关 键 词：联动 因果 小波变换 房价 股价 

分 类 号：O29[理学—应用数学]