摘要
本文在对周期波动理论和国内外相关文献进行叙述的基础上,采用频域的交叉谱分析法对1998年1月～2010年12月我国房地产实体经济与股票市场周期波动及其关联性进行了实证研究。研究表明,自1998年1月以来,我国房地产实体经济与股票市场和房地产股票市场都存在着39个月和26个月的耦合周期,且在39个月的耦合周期时,三个市场都同步完成一个周期波动,而在26个月的耦合周期时,股票市场领先于房地产实体经济3个月,房地产股票市场要领先于房地产实体经济4个月。最后,本文又用Granger因果检验法对两者之间的领先滞后关系进行定性检验,用时差相关系数法对两者之间的领先滞后时期数进行定量检验,检验结果与谱分析结果完全吻合,说明模型和参数是稳定的。
This paper first introduces the importance of the study on the cycle fluctuation relationship between the real estate and the stock market of China. Then we found that the relevant research about the cycle fluctuation relationship between the real estate market and the stock market at home and abroad are focused on applying the time-domain analysis to discuss the long-term co-integration and short-term Granger causality relationships between the two markets, while the co-integration analysis and Granger causality analysis can＇t reflect the fluctuation relationship between the two markets from the perspective of cyclical fluctuations. Compared with the existing research, this paper has the following characteristics： firstly, we use the frequency-domain analysis instead of time-domain analysis to analyze the monthly data of the national real estate prosperity index, the Shanghai composite stock index and the Shanghai real estate stock index frornJanuary 1998 to December 2010. Secondly, we use the Granger causality method to test the conclusion of lead/lag relationship from the frequency cross spectral analysis. Thirdly, we use the crosscorrelation method to test the conclusion of the order of lead/lag relationship between the two markets from the cross spectral analysis. Based on these researches we can get the following conclusions： Firstly, according to the cross spectral analysis, we found that China＇s real estate market had a main cycle of 26 months and had a secondary cycle of 39 months since January 1998 to December 2010, while the stock market and real estate stock market had a cycle of 39 months and 26 months respectively. Secondly, according to the cross spectral analysis, we can also found that the fluctuations between China＇s real estate and the stock market had two co-cycles which are 39 months and 26 months. In the co-cycle of 39 months, the correlation coefficient of the cycle fluctuationbetween the two markets is 0.67 and in the co-cycle of 26 months, the correlation coefficient is 0.80, which means that the cycle fluctuation relationship between the real estate market and stock market is close. Similarly, the cycle fluctuations between China＇s real estate and the real estate stock market also had co-cycles of 39 months and 26 months. And the corresponding correlation coefficients are 0. 67 and O. 82 respectively. It also reflects that the cycle fluctuation relationship between the real estate market and real estate stock market is correlated. Thirdly, in the co-cycle of 39 months, the real estate and the stock market fluctuate with synchronization, that is the two markets complete a cycle simultaneously. It is the same with the fluctuation relationship between the real estate market and the real estate stock market. Meanwhile, in the 26 months＇ co-cycle, the fluctuation of the stock market leads the real estate market ahead of 3 months and the real estate stock market leads the real estate market ahead of 4 months. This is mainly due to the different characteristics with the real estate market and the stock market. The real estate market has a high barrier to entry and a long investment cycle, while the stock market has a low barrier to entry and strong liquidity. Fourthly, based on the Granger causality test, we found that the cycle fluctuation of Shanghai composite stock index （szzzcycle） is the Granger cause of the cycle fluctuation of national real estate prosperity index （ estatecycle）, while estatecycle is not theGranger cause of szzzcycle. And also the cycle fluctuation of the Shanghai real estate stock index （szdczcycle） is the Granger cause of estatecycle, but estatecycle is not the Granger cause of szdczcycle. This means that both the cycle fluctuations of the stock market and the real estate stock market lead the cycle fluctuation of real estate market, which is the same as the conclusion of cross spectral analysis. According to the crosscorrelation test we also get that when szzzcycle leads estatecycle ahead of 4 months, the correlation coefficient is the biggest, and when szdczcycle leads estatecycle ahead of 3 months, ＂the correlation coefficient is the biggest, which are also the same as the conclusion of cross-spectral analysis.
出处
《经济管理》
CSSCI
北大核心
2012年第2期133-141,共9页
Business and Management Journal ( BMJ )
关键词
房地产市场
股票市场
周期波动
谱分析
real estate market
stock market
cycle fluctuation
spectral analysis
