股市與房市之整合分析：以中國為例

Integration of Stock and Real Estate Markets: Evidence from China

劉靜璇(Ching-Hsuan-Liu)

指導教授 ： 姜樹翰

中原大學/商學院/財務金融研究所/碩士(2017年)

https://doi.org/10.6840/cycu201700452

摘要

本論文的主要研究目的是使用股票指數－MSCI中國A股指數，以及以交易為基礎的房地產指數－CREIS新房價格指數，來探討中國的股票市場和一線城市之房地產市場，兩個市場之間的關係。
整合關係的部分，我們發現：各城市的城市綜合指數、住宅指數、寫字樓(辦公場所)指數以及商鋪(商業用建築)指數，大部分都與MSCI中國A股指數之間不存在共整合關係，僅上海寫字樓(辦公場所)指數、上海商鋪(商業用建築)指數和廣州的商鋪(商業用建築)指數與MSCI中國A股指數之間均存在一組共整合向量關係，且分別為正向顯著、正向顯著和負向顯著之影響。換言之，投資股票與廣州商鋪(商業用建築)是一個值得考慮的長期投資策略。
再者，本論文利用Toda-Yamamoto 因果檢定發現：各城市的城市綜合指數、寫字樓(辦公場所)指數以及商鋪(商業用建築)指數，大多都與MSCI中國A股指數之間不存在因果關係。只有在住宅部分，MSCI中國A股指數分別領先北京住宅指數與重慶住宅指數。而還有在寫字樓(辦公場所)的部分，僅MSCI中國A股指數會領先深圳寫字樓(辦公場所)指數。
總之，中國雖然面臨投資標的欠缺的問題，但對於將股票市場與房地產市場納入投資組合之策略顯然仍未受到民眾的重視，這是未來中國投資人必須考慮的重要問題，也是中國追求更穩健金融環境不得不面對的議題。

關鍵字

股市 ； 房地產 ； 一線城市 ； 共整合 ； 因果檢定

並列摘要

The main purpose of this research is to use the stock data: MSCI China A-share index and the transaction-based real estate data: new house price index to investigate the relationship between the stock market and the real estate markets of first-tier cities in China. Based on the above relationships, we can furthermore establish an efficient portfolio strategy.
The empirical results first show that there is no any cointegration relationships between MSCI China A-share index and other types of real estate indices, except that there is some cointegation relationships between MSCI China A-share index and the office index of Shanghai, the commercial building indices of Shanghai and Guangzhou respectively. More specially, it is found that there is a negative cointegration relationship between MSCI China A-share index and commercial real estate price in Guangzhou to reduce the degree of portfolio risk efficiently.
In addition, the empirical results using Toda-Yamamoto causality test show that the causality relations mostly come from stock market and residential assets, for example, MSCI China A-share index leads to the residential index of Beijing and Chongqing as well as the office index of Shenzhen. In other words, stock market generally leads to housing market in China.
Judging the above, it is clear that integration of stock and real estate markets is relative weak in the case of China. How to promote the concept of portfolio between two markets to China’s investor is very essential to more balanced and stable financial environment and development.

並列關鍵字

Stock market ； Real estate market ； First-tier cities ； Co-integration ； Causality relationship

參考文獻

1.Altinary, G. and Karagol, E. (2005), Electricity consumption and economic growth: Evidence from Turkey, Energy Economics, 27(6), 849-857.

2.Ambrose, B. W., Ancel, E. and Griffiths, M. D. (1992), The fractal structure of real estate investment trust returns: The search for evidence of market segmentation and nonlinear dependency, Real Estate Economics, 20(1), 25-54.

3.Awokuse, T. O. and Yang, J. (2003), The informational role of commodity prices in formulating monetary policy: A reexamination. Economics Letters, 79(2), 219-224.

4.Chen, N. K. (2001), Asset price fluctuations in Taiwan: Evidence from stock and real estate prices 1973 to 1992, Journal of Asian Economics, 12(2), 215-232.

5.Chen, P., Chien, M. and Lee, C. (2011), Dynamic modeling of regional house price diffusion in Taiwan, Journal of Housing Economics, 20(4), 315-332.