中国银行股收益分布对房地产股收益波动的敏感性研究

The Sensitivity of Bank Stock Returns to Real Estate Stock Returns in China

探讨银行股收益分布对房地产股收益波动的敏感性对于金融风险控制以及金融市场和房地产业的协调健康发展具有重要理论和现实意义。本文从银行股收益对房地产股收益敏感性角度出发,利用二元GARCH模型实证分析了我国商业银行股与房地产股权收益及条件波动之间的关系。前者考察了房地产业和商业银行之间的收益溢出,后者考察了房地产业对商业银行风险传递的持久性、方向和力度。分析表明,商业银行股收益服从二元GARCH过程,房地产股收益应当用Fama-French多因素模型建模且需与GARCH误差结构相结合。商业银行股收益对地产股收益敏感,且具有统计和经济显著性。房地产股收益对商业银行股收益及收益波动的溢出效应是显著的。

It is theoretically and pratically to investigate how the real-estate risk impacts on commercial banks＇ equity returns.The paper examines the relationship between equity returns and conditional volatilities of commercial banks and the equity returns and comditional volatilities of the real-estate using the bivariate GARCH model.The former examines the return overflow of the equity returns of commercial banks and real-estate.The latter examines the persistence of the risk transfer, the direction and intensity between real-estate sotck.The empirical analysis show that the equity returns of commercial banks subject to the bivariate GARCH process; the equity returns of real-estate should be modeled with Fama-French multi-factor model which is combined with GARCH error structure; the equity returns of commercial banks is sensitive to the equity returns of real-estate stock and it is statistically and economically significant, the equity returns and volatilities of real-estate stocks have spillover effects on the equity returns of commercial banks.