香港各地区房地产市场间的动态相关性研究

Research on dynamic correlations among regional real estate markets of Hong Kong

由于投资决策和政策制定等方面的需求,不同地区房地产市场之间的相关关系越来越受到学术研究的关注.引入有能力刻画外部因素对动态相关性产生影响的DSTCC-GARCH模型,结合VAR模型,研究了香港4个地区房地产市场之间的动态相关关系.研究发现银行最优惠贷款利率和滞后的恒生指数年回报两个外部因素对这些动态相关性表现出较为显著的影响.港岛与九龙、新界西之间的相关程度较高,九龙与新界东、新界西之间的相关性程度较低,港岛与新界东之间的动态相关性呈现出一个与其它5组动态相关性都不同的缓慢向上的趋势.此外,6组动态相关性均在两次金融危机前后呈现出局部的高点.

Correlations among real estate markets in different regions is attracting more and more considerations these days.This paper studies the among real estate markets in four Hong Kong regions,by introducing the VAR model,and DSTCC-GARCH model which allows external factors to influence the dynamic correlation.It is found that the bank prime lending rate and lagging Hang Seng Index annualized returns,as two external factors,show a significant impact on these dynamic correlations.Hong Kong Island is highly correlated to Kowloon and New Territories West,while Kowloon is lowly correlated to New Territories East and New Territories West.The dynamic correlation between Hong Kong Island and New Territories East is a little different from the other five dynamic correlations and shows a slow upward trend.In addition,the six dynamic correlations show local high levels around the two financial crisis periods.