房地产股票市场溢出效应研究

Spillover Effect between Real Estate Stock Markets

本文应用单变量GARCH模型和互相关函数探讨了不同市场之间的收益和波动的溢出效应;仿照收益的概念提出了"波动演进",并使用向量自回归模型研究了波动和收益溢出的动态过程。研究发现,收益和波动的溢出存在地域特性,即同一地域的国家或地区之间存在快速且强烈的溢出效应。研究还揭示了一些国家或地区金融市场的特点,比如中国大陆是一个波动接受国,而德国是一个纯波动出口国。此外,通过比较平静时期和紧张时期的股市,可以观察到投资者的行为产生了变化,但是他们对信息的判断能力和速度并没有提高。

This paper utilizes the univariate GARCH model and cross correlation function to test for the existence of the spillover effects in return and volatility between different markets. It is shown that the spillovers in both return and volatility present some geographical pattern. The spillover is stronger and faster between the geographically adjacent countries. The study also reveals some country specific features. This paper also compares the effect of tranquil period and stress period. It can be proved that the market participants change their behavior in different market environments, but they seem to be unable to change either improve their judgment, or accelerate the process of information analysis.