中国股票市场和房地产市场的相关性以及风险溢出

Research on the Correlation and Risk Spillover Effect between China’s Stock Market and Real Estate Market

利用非线性DCCA相关系数研究我国股票市场和房地产市场间的非线性相关关系,进一步根据TVP-VAR溢出指数模型探讨了股票市场和房地产市场间的动态溢出效应.研究结果表明:我国股票市场和房地产市场间具有较强的非线性相关关系,且具有时变特征.股票市场和房地产市场具有明显的波动集聚现象,联动性较强.股票市场和房地产市场之间存在显著双向均值溢出和波动溢出效应,并且随着时间的推移,溢出效应具有减弱趋势.在我国2015年“股灾”和新型冠状病毒感染疫情极端情形下,溢出效应显著增强,但股票市场和房地产市场之间的均值溢出占主导,我国“股灾”对股市和房地产的冲击更大.

This paper uses the nonlinear DCCA coefficient to study the nonlinear correlation between China’s stock market and the real estate market,and further discusses the dynamic spillover effect between the two markets according to the TVP-VAR spillover index model.The results show that there is a strong correlation between them,and the correlation is time-variant.There are obvious fluctuations and agglomeration between the two markets with strong linkage.There are significant two-way mean and volatility spillovers between them,and the spillover effects have a weakening trend over time.Under the extreme circumstances of the“stock disaster”and the COVID-19 in China,the spillover effects were significantly enhanced.However,the mean spillover between the two markets is dominant,and the impacts on the stock market and the real estate market are stronger during the“stock disaster”period.