房地产市场对银行收益的系统性影响研究——以美国、中国香港、中国大陆市场为例

文章研究了三地上市银行和房地产公司股票之间的收益关系,发现三个市场的银行股票收益都显著地受到房地产股票波动的影响,并且利用三地数据的结构性差异点,确定了次贷危机发生作用的时点.对比次贷危机前后的三个市场银行股和房地产股票收益的关系后发现,代表银行股收益对房地产股波动敏感性的回归系数在次贷危机后均有所增大,显示美国和中国的银行业所面临的房地产风险已经由非系统性风险转变为系统性风险,其风险敞口在加大.

Study on the Systematic Effect of Real Estate Market on Banks' Earnings:Based on the Markets in USA,Hong Kong and the Chinese Mainland

The paper makes studies on the relationship between the stock returns of listed banks and the ones of real estate companies in USA,Hong Kong and the Chinese mainland,and finds that the fluctuation of real estate stocks has significant impacts on the stock returns of banks. Then it points out the function time of mortgage crisis through analyzing the structural differences of the data from USA,Hong Kong and the Chinese mainland. The regression coefficients which indicate the sensitivity of stock returns of b...