應用GARCH模型探討中國房地產價格與股價波動因果關係

Causal Relationship between Volatility on Real Estate Prices and Stock Prices in China-- Application of GARCH Model

李志輝(Chih-Hui Lee)

指導教授 ： 陳達新

國立臺北大學/商學院/企業管理學系/碩士(2011年)

摘要

摘要

2005年7月21日中國十年來首次允許人民幣兌美元升值，回應美歐對中國低估人民幣帶來不公平的貿易優勢的批評。中國結束了1995年以來實行的人民幣兌美元釘住在8.28元人民幣上下的匯率機制，允許人民幣兌一籃子貨幣浮動，開啟了中國進一步開放金融市場的新紀元。在此之後至2010年，人民幣持續升值，影響大陸股票市場之大幅上揚以及全國性的房價暴漲。本文利用GARCH模型，探討大陸上海證券綜合指數(Chinese Shanghai Stock Index)、房地產價格指數(Chinese Shanghai REITs Index)之波動度，並且進一步進行實證分析二者之間是否存在因果關係。研究期間始於2005年7月21日匯率改革後至2010年12月31日止，所採用的資料型態為日資料。研究結果顯示估算出的變異數參數非常顯著，即說明了上證指數之波動性與地產指數之波動性兩標的市場的報酬率波動性均受對方上ㄧ期報酬率波動性與自己市場本身上ㄧ期報酬率波動性的影響非常顯著；再者由實證中亦指出上證指數之波動性與地產指數之波動性二者呈相互領先(feedback causal relationship)的關係，且上證指數波動性領先程度較大。本研究希望藉由研究結果可以提供投資者與政府相關機構作出適當的投資決策與政策以及後續研究之參考。

關鍵字

房地產價格 ； 股價 ； 因果關係 ； 自我回歸條件異質變異模式

並列摘要

Abstract
There was a tremendous change of the exchange rate of the Renminbi (RMB) against USD. China’s currency, which for the previous decade had been tightly pegged at 8.28 yuan to the U.S. dollar, was revalued on July 21, 2005 to 8.11 per U.S. dollar. The revaluation of RMB/USD marked the new era of managing floating exchange rates. We are interested in the impact of the appreciation of Renminbi on stock prices and real estate prices in China since the removal of the peg. We use GARCH Model to examine causal relationships between Chinese Shanghai Stock Index and Shanghai REITs Index, from 2005/7/21 to 2010/12/31. Policy and the broader implications of the findings are discussed. The daily data is used.
The results showed that the variance of estimated parameters are very significant. t shows the Shanghai stock index of volatility and the volatility of the Shanghai REITs index of the two target markets are both subject to be influenced by their own and the other’s last volatility of returns very significant. Evidence also pointed out by the Shanghai index's volatility and the volatility of the REITs index were both leading each other . The Shanghai stock index is on the large degree. By studying the results of this study is to provide investors with relevant government agencies to make appropriate investment decisions and policy and follow-up study in Taiwan.

並列關鍵字

Exchange Rates ； REITs ； Real estate prices ； Stock prices ； Causality ； GARCH model

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