中国房地产市场与股票市场的双向溢出效应研究

Research on the Two-way Spillover Effect between China’s Real Estate Market and Stock Market

房地产业是我国经济的支柱产业,股票市场是经济发展的晴雨表,两个市场在经济发展中的相互作用和影响历来受到学界和业界的广泛关注。本文选取1999-2018年样本数据,运用VAR-GARCH-BEKK模型,结合滚动窗口法,从静态和动态角度考察房地产市场和股票市场之间的均值和波动溢出效应。结果表明:房地产市场与股票市场整体上具有双向均值和波动溢出效应;2008年全球金融危机前,两市场之间存在双向均值和波动溢出效应;金融危机后,房地产市场对股票市场存在单向负均值溢出效应,股票市场不存在对房地产市场的均值溢出效应,两市场之间不存在波动溢出效应。进一步动态分析发现,两市场之间的均值和波动溢出效应均随时间变化存在差异。本文研究对股票市场和房地产市场的调控以及宏观经济政策的制定具有一定的参考价值,为投资者资产配置和风险管理提供一定的依据。

Real estate industry is the pillar industry of China’s economy,while stock market is the barometer of economic development.The interaction and influence of the two markets in economic development has always been widely concerned by academia and industry.Using the sample from 1999 to 2018,this paper uses the VAR-GARCH-BEKK model and combines with rolling window method to investigate the mean and volatility spillover effects between the real estate market and the stock market from the static and dynamic perspectives.Results show that there exists overall two-way mean and volatility spillover effects between the real estate market and the stock market;there exists two-way mean and volatility spillover effects between the two markets before the 2008 global financial crisis;the real estate market has one-way negative mean spillover effect on the stock market while the stock market does not have the mean spillover effect on the real estate market,and there is no volatility spillover effect between the two markets after the financial crisis.Further dynamic analysis shows that the mean and volatility spillover effects between the two markets vary with time.This study provides a certain reference for the regulation of stock market and real estate market and the formulation of macroeconomic policies,and has a certain basis for investors’asset allocation and risk management.