我国房地产价格与股票价格指数的关联性研究

Real Estate Prices and Stock Index:A Study in Correlation

房地产价格和股票指数之间具有一定的关联性,通过构建VaR模型来分析1999-2011年房地产价格和股票价格指数之间的关系,可以得出这样几个结论:(1)国房景气指数和股票指数的相关性系数较小;(2)房地产价格自身滞后一期和股票价格指数滞后一期对房地产价格影响较大,股票价格指数自身滞后一期和房地产价格滞后二期对股指的影响更大;(3)短期内表现为房地产价格到上证A股指数、深证A股指数的单向Granger因果关系;(4)相对于房价而言,股票价格指数对冲击的反应更明显。无论是房价还是股票指数,对自身冲击的反应都较大,回复平稳所需的时间也相应较长;(5)房价几乎不受股价影响,而股价受房价的影响,但这种影响力度没有股票自身的影响大。由此建议:可通过大力征收房地产税抑制房价的不健康增长;适当控制房地产公司的上市融资行为;遏制非理性的投机行为;建立多元化的投资和融资渠道;审慎看待房市和股市的繁荣等。

This paper studies the relationship between housing prices and stock prices. It analyzes the relationship between housing prices and five kinds of stock price indices from 1999 to 2011 using the VaR model. According to the empirical test results, we could get five conclusions. Based on our test results, we suggest that： Unsound housing price hikes should be reined in through levying property tax; The behavior of listing and financing of the real estate companies should be controlled; Irrational speculation should be curbed; Investment and financing channel should be diversified; Housing and stock market booms should be treated with prudence.