房价预期与城镇居民家庭股市参与——理论探讨与微观经验证据

本文基于中国家庭金融调查数据,通过构建理论模型和实证检验分析了房价预期与家庭股市参与的关系,考察了行为金融偏差在房价预期影响股市参与过程中的作用,并根据背景风险、社会网络和户主特征进行异质性分析。结果表明:(1)房价上涨预期通过降低居民家庭的股票收益率预期和增加住房资产,进而降低居民家庭的股市参与概率和参与程度;(2)“心理账户”以及“有限关注”的存在显著弱化了房价上涨预期对家庭股市参与的负向作用;(3)房价上涨预期对股市参与概率和参与程度的负向作用在收入风险更高、健康状况更差、社会网络水平较低以及受教育程度偏低的家庭中更大。因此,稳定房价预期能够通过提升家庭股市参与,进而从需求角度促进股票市场的健康发展。

House Price Expectations and Urban Households' Stock Market Participation: Theoretical Discussion and Micro Empirical Evidence

In recent years, Chinese households' limited participation in the stock market has become noticeable. However, the proportion of housing assets in the asset allocation of households is very high. Within the general adherence to the position of “houses are for living in and not for speculative investment,” it is of great theoretical and practical significance to discuss Chinese households' limited participation in the stock market from the perspective of house price expectations.
Based on data from the China Household Finance Survey (CHFS), this paper analyzes the relationship between house price expectations and household stock market participation by constructing a theoretical model and conducting empirical tests. In terms of the theoretical model, this paper constructs a two-phase model and finds that house price expectations affect stock investment by changing stock return expectations and adjusting investment in housing assets. In terms of empirical analysis, this paper uses a probit and tobit model to analyze the impact of rising house price expectations on stock market participation and share and uses both direct and indirect methods to empirically test the existence of the two mechanisms. In the direct method, by constructing proxy variables for stock return expectations and housing asset investment, this paper expounds whether households' expectations of house price increases affect these variables. In the indirect method, the paper introduces the exogenous impact of the housing purchase restriction policy, which hinders the adjustment mechanism of housing asset investment, to indirectly identify the impact mechanism. The empirical results further verify that the expectation of higher house prices reduces the probability and degree of households' participation in the stock market through the mechanisms of changes in expected stock returns and adjustments in housing assets. At the same time, this paper empirically analyzes the impact of deviation in household behavior on the relationship between house price expectations and stock market participation. The results show that behavioral deviations such as mental accounts and limited attention hinder the adjustment of household portfolios and weaken the inhibitory effect of house price expectations on household stock investment. This paper further analyzes the heterogeneity of households according to their background risk, social network, and the head of household's education level. The results show that the expectation of higher house prices has a greater inhibitory effect on stock investment by households with higher levels of background risk, lower levels of social network, and lower levels of education.
Compared with previous studies, the innovation of this paper is mainly reflected in the following aspects. First, through the theoretical model and empirical tests, this paper comprehensively analyzes the effect and underlying mechanism of house price expectations on stock investment, providing a new explanation for the mystery of households' limited stock market participation. Second, the paper uses behavioral finance theory, taking mental accounts and limited attention as the starting point, to study the impact of irrational behavioral deviation on the relationship between house price expectations and stock investment, and expands the research perspective in the field of household asset allocation. Third, this paper chooses “whether the city publishes real estate policy regulation documents” as the instrumental variable for house price expectations, which better overcomes the possible endogeneity problem.
It is expected that rising house prices will reduce households' stock investment through the mechanisms of changes in expected stock returns and adjustments in housing assets. Therefore, considering the position that houses are for living in, not for speculative investment, it is necessary to not only stabilize land and house prices but also pay attention to guiding and stabilizing house price expectations to promote the steady and healthy development of the real estate market. In addition, it is necessary to promote households' demand for stocks and provide impetus for the healthy development of the housing market and capital market from the perspective of demand. Moreover, the existence of behavioral financial deviations such as mental accounts and limited attention will prevent households from adjusting their portfolios according to the expected changes in prices. When macroeconomic management and financial supervision departments design policies and when financial institutions design financial products and wealth management services, they need to consider households' behavioral deviations.