| 基于“城房指数”的中国城市新建商品住房市场有效性研究 |
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| 引用本文： | 杨振鹏,吴璟,刘洪玉.基于“城房指数”的中国城市新建商品住房市场有效性研究[J].中国房地产,2011(3):3-13. |
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| 作者姓名： | 杨振鹏 吴璟 刘洪玉 |
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| 作者单位： | 清华大学房地产研究所 |
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| 摘 要： | 本文采用2006年1月至2009年8月我国10个大中城市“城房指数”数据，检验了新建商品住宅市场的有效性，结果显示市场无效是较为普遍的现象。进一步的研究说明，特定的市场参与者可以在无效市场中通过积极预测价格而获得更好的回报。但对一般投资者而言，由于目前调整持有房地产资产比例的投资行为将产生极高的交易费用，获得这一套利机会并不现实。如果未来我国资本市场上出现房地产衍生证券，该问题有可能得到解决，市场有效性也会得到提高。
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| 关 键 词： | 有效市场假设 房地产市场有效性 房价预测 |
New Evidence on Housing Market Efficiency from Housing Price Indexes of Chinese Cities |
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| Yang Zhenpeng Wu Jing Liu Hongyu.New Evidence on Housing Market Efficiency from Housing Price Indexes of Chinese Cities[J].China Real Estate,2011(3):3-13. |
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| Authors: | Yang Zhenpeng Wu Jing Liu Hongyu |
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| Institution: | Yang Zhenpeng Wu Jing Liu Hongyu |
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| Abstract: | This paper tests efficient-market-hypothesis in housing markets, using hedonic price index es from January, 2006 to August, 2009 in ten Chinese major cities. The result shows that eight markets are inefficient in short run. Further analysis indicates that some participants, such as home builders, can gain benefit from this kind of short-run inefficiencies while other investors cannot due to low liquidity and high transaction cost. If real estate derivatives emerge in the future, there will be more opportunities for ordinary investors to arbitrage. Hence, housing markets will be less inefficient. |
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| Keywords: | Efficient--market--hypothesis Housing market efficiency Housing price forecast |
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