中国房地产市场与股票市场相关性的实证研究——基于预期效应、财富效应与替代效应的传递机制

本文利用1998年第一季度到2011年第三季度的季度数据,基于预期效应、财富效应与替代效应的传递机制来研究中国房地产市场与股票市场之间的相关性。研究结果表明,在长期内,预期效应与替代效应的传递作用微弱以及关系复杂导致房地产市场与股票市场长期不存在稳定关系;在短期内,房地产市场对股票市场的替代效应引起的负效应起主导作用且较显著,股票市场对房地产市场的财富效应引起的正效应起主导作用但较微弱,两者存在相互的Granger因果关系。

An Empirical Study of the Relativity of China＇s Property Market and Stock Market——Based on the Transmission Mechanism of Expectancy Effect,Wealth Effect and Substitution Effect

With the quarterly data from the first quarter of 1998 to the third quarter of 2011,based on the transmission mechanism of expectancy effect,wealth effect and substitution effect,this paper studies the relativity of China’s property market and stock market.Study proves that in the long term,the transmission function of expectancy effect and substitution effect is weak and the complicated relationship results in the long-term unsteady relationship of property market and stock market.In a short term,the negative effect resulted from property market’s substation effect on stock market is remarkable.And the positive effect resulted from stock market’s wealth effect on property market is rather weak.There exists Granger cause and effect relation between these two factors.