基于价格信息传递的住宅市场空间效率

Housing market spatial efficiency based on pricing information transmission

为分析在空间维度上的价格信息影响,进行了住宅市场效率研究。利用向量自回归模型和北京等7个城市2003年6月至2007年7月的住宅价格数据,检验城市间的住宅价格的信息传递性和住宅市场空间效率。研究表明:中国相邻城市间的住宅市场空间效率较高,而不相邻城市间的住宅市场表现出空间非有效性,即不相邻城市间的住宅价格具有可预测性。投资者可以通过分析其他城市住宅价格变化的历史信息预测某一城市当前的住宅价格。住宅市场存在无风险套利机会。

The housing market efficiency was studied to assess the effect of pricing information in spatial dimension. The vector autoregressive model was used to analyze housing price data from June 2003 to July 2007 of 7 cities including Beijing to examine the housing price information transmissibility and the spatial efficiency of housing markets. The results show that the spatial efficiency of housing markets in neighboring cities is relatively high, while housing prices in non-neighboring cities are not closely related, where the housing prices are predictable. Thus, investors can predict the current housing price in one city from historical housing price information of other cities. Therefore, risk-free arbitrage opportunities exist in the housing markets.