【作者】 张婧；

【导师】 乔海曙；

【作者基本信息】 湖南大学 ， 金融学， 2009， 硕士

【摘要】 房地产业是一个资金密集型行业,金融业是经营货币的行业,二者通过资金纽带,建立了相互依赖和相互促进的密切关系。房地产股票市场作为金融市场的重要组成部分,不仅承担着融资和资源配置的资本媒介职能,也作为我国经济发展的“晴雨表”发挥着经济预测和价值发现的功能。利率政策是房地产市场宏观调控过程中最常用、最重要的工具。利率高低一方面影响房地产消费,直接关系购房者的贷款信心、还款压力和支付能力;另一方面影响房地产开发投资,多数开发商的主要资金来源于银行,影响开发的成本和利润。借鉴国外较为成熟的经济学理论和实证研究的方法,本文主要分析了影响股票价格波动的因素以及利率变动对房地产上市公司股票价格的影响研究。首先从理论角度出发,概述影响股价波动的因素,包括宏观经济因素、宏观经济政策因素、公司因素及其他,有的因素是可测的,有的则是不可测的,如何去发现这些潜在的因素,是非常具有挑战性的问题。本文就试图采用一种新的分析方法——独立成分分析法(Independent Component Analysis,简称ICA)来找到影响房地产股票走势的潜在因素,研究发现,大盘走势和利率政策是影响房地产上市公司股价波动的重要因素。然后从理论上分析了利率与房地产业股价关系的理论模型、利率变动对房地产业股价影响的途径以及利率变动对房地产市场的长短期效应分析,并通过实证检验利率变动对房地产业股价的影响,研究表明中国利率变动对房地产业股价在长期内呈现负相关关系,在短期内会产生冲击,但利率的作用有限,并且有时滞,使市场重新回归到长期均衡的状况需要一定的时间。最后结合前文的分析,提出政策建议,从合理控制供给、有效引导需求、实施反操纵监管三个大方面采取综合措施,实现房地产市场的健康稳定发展。更多还原

【Abstract】 As a capital intensive sector, the real estate industry is intimately correlated with financial sector through capital flow.The Real estate stock market, as an integral part of financial market, remarkably contributes to allocation of resources, discovery of real value of assets and forecast of economy. The interest rate policy serves as a normal and most important instrument for macro-control of real estate industry. With significant influence on the consumers’ confidence and purchasing power, interest rate affects consumption on real estate market. Also, interest rate affects investment on real estate market,because it has great influence on the cost of investment given that the majority of the capital flow on real estate market stems from bank loans.Using sophisticated economic theories and empirical methods, this paper intends to analyze the factors for the fluctuation of stock prices of real estate listed companies and the influence of interest rate on those prices. First, theoretically, we discuss the factors which affect the volatility of stock prices, such as, Macroeconomics, macroeconomic policy, performance of companies and etc. Because some factors involved are latent, identifying these potential factors turns out to be very challenging. Therefore, we draw on a new approach--Independent Component Analysis in attempt to complete this challenging work. As a result, the trend of stock market index and interest rate policy are two essential factors responsible for the fluctuation of stock prices of real estate listed companies. In addition, this paper analyses the relationship between the interest rate and real estate stock prices, the impact approach of interest rate and the effects of change of interest in both short and long run on stock prices. By the support from an empirical study, we come to the conclusion that the interest rate is adversely proportional to stock prices of real estate companies in long term, but imposes a short run impact on it with a lag. Also, in order to achieve the healthy development of real estate markets, the following aspects are necessary to be highlighted in future relevant policies: supply control, demand guidance and anti-manipulation supervision.更多还原