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研究生:劉錦樺
研究生(外文):JIN-HUA LIU
論文名稱:中國大陸總體經濟因素與股票市場及房地產市場之連動性
論文名稱(外文):The relation of china’s stock market, real-estate market and macroeconomic factors
指導教授:蔡錦堂蔡錦堂引用關係
指導教授(外文):JIN-TANG CAI
學位類別:碩士
校院名稱:國立臺北商業技術學院
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2011
畢業學年度:99
語文別:中文
論文頁數:80
中文關鍵詞:股票市場房地產市場總體經濟因素財富效果共整合檢定誤差修正模型結構改變
外文關鍵詞:Stock marketReal estate marketmacroeconomic factorsVECMCo-integration TestGranger Causality Teststructural change
相關次數:
  • 被引用被引用:14
  • 點閱點閱:1035
  • 評分評分:
  • 下載下載:361
  • 收藏至我的研究室書目清單書目收藏:7
本文利用中國大陸1997年1月到2009年11月之月資料,主要探討中國股票市場與房地產市場受到總體經濟因素產生的相互影響,其中股票市場是以上海證券綜合股價指數作為衡量的指標,房地產市場是以國房景氣指數作為房地產市場的代理變數。研究方法上,進行Johansen共整合檢定,觀察變數是否會具有長期均衡關係。接著,若變數具有共整合關係時,即利用在共整合關係下的Granger因果關係檢定來觀察股票市場與房地產市場的領先效果或落後效果及各總體經濟變數對此兩大市場的領先或落後關係。另外,為了使分析更為穩健,進行各變數間是否存在結構改變,並說明造成結構改變的影響因素。研究結果顯示中國的股票市場與房地產市場存在長期均衡關係,並且經由Granger因果關係檢定得知股票市場會領先房地產市場。接著,加入總體變數後股市及房市也存在長期均衡關係,股票市場只對匯率存在單向的Granger因果關係,宏觀調控景氣指數對股票市場也具有單向的Granger因果關係。在股票市場方面,宏觀調控景氣指數為領先效果,可作為中國大陸總體經濟調控的領先指標;在房地產市場方面,房價指數對利率、躉售物價指數、原油價格皆存在單向的Granger因果關係,其皆代表著房價對利率、躉售物價指數、原油價格皆具有領先效果。
In this paper, we use the China monthly data in January 1997 to November 2009, investigate the relation of China’s stock market (stock market index), real-estate market(house market index) and macroeconomic factors. In research method, we use the Johansen co-integration test to observer whether variables have long-term equilibrium relationship.
If the variables have co-integration relationship, then we use under the co-integration relations in the Granger causality test with the stock market and real estate market to observe the effect with the macroeconomic factors is leading effect or backward effect. In addition, in order to make the analysis more robust ,we consider the structural change between the variables and explain the impact of factors causing structural change.
The results show that China's stock market and real estate market have long-term equilibrium relationship. By the Granger causality test we know that the stock market will leading real estate market. Then, after adding the macroeconomic factors ,stock market and real estate market also have long-term equilibrium relationship. In stock market, the macro-control index have leading effect, it can be used as control in China a leading indicator of overall economic.

第一章 緒論
第二章  文獻探討
第三章  研究方法
第四章 實證結果分析
第五章 結論與建議
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