房地产和股票市场投资者情绪与收益的交叉效应研究  

Research on the Cross Effect Between Investor Sentiment and Returns in Real Estate and Stock Markets

作　　者：黄华继[1] 孙黎娜 HUANG Huaji;SUN Lina(School of Investment Economics, Anhui University of Finance and Economics, Bengbu 233030,China)

机构地区：[1]安徽财经大学金融学院,安徽蚌埠233000

出　　处：《华北水利水电大学学报（社会科学版）》2022年第3期28-33,共6页Journal of North China University of Water Resources and Electric Power(Social Science Edition)

基　　金：安徽财经大学研究生科研创新基金项目(ACYC2020178)。

摘　　要：探究股市与房市间情绪与收益的交叉关系,能对投资者择时投机与监管者稳定市场提供参考。采用2010年1月至2020年8月的月度数据构建房地产市场情绪指标,建立TVP-VAR模型对股市与房市间的情绪、收益进行动态时变关系研究,以期发现股市与房市情绪与收益之间的关系。结果表明:股市与房市之间存在情绪溢出效应,股市情绪与房市情绪相互影响,且股市较房市情绪的传播速度快;存在收益溢出效应,房市对股市收益影响较为稳定,股市对房市的收益影响较为复杂;存在交叉溢出效应,市场情绪对收益之间的影响关系随市场环境变化,收益对情绪会产生正向稳定影响。Exploring the cross-relation between sentiment and returns in stock market and real estate market can provide reference for investors to speculate at the right time and regulators to stabilize the market.The monthly data from January 2010 to August 2020 were used to construct the real estate market sentiment,and the TVP-VAR model was established to study the dynamic time-varying relationship between the sentiment and returns of the stock market and the real estate market.The results show that there is an emotional spillover effect between the stock market and the housing market.The stock market sentiment is gradually influenced by the housing market sentiment.The stock market sentiment has a stable promoting relationship with the housing market sentiment,and the spreading speed of the stock market sentiment is faster than the spreading speed of the housing market sentiment.In terms of income spillover effect,the housing market has a stable relationship of strong promotion in the short term and stable weak inhibition in the medium and long term.The stock market returns have a complex impact on the housing market returns and are greatly affected by the economic environment.In terms of the cross-spillover effect between the stock market and the housing market,the impact of market sentiment on earnings is complex and will be influenced by the market environment,while earnings will have a positive and stable impact on sentiment.The cross impact of earnings on sentiment is more far-reaching than that of sentiment on earnings.

关 键 词：房地产市场情绪 股市情绪 溢出效应 

分 类 号：F830[经济管理—金融学]