基金经理分析：几十万手的巨额抛单谁干的？
Title:Fund manager analysis: a huge amount of hundreds of thousands of hands who do?中国基金报 赵婷、吴君、方丽、刘梦今日两市放量大涨。上证涨3.28%，深综涨4.18%，创业板涨4.52%。所有行业、概念板块全线飘红，两市约200家个股涨停，2286家个股上涨。然而小伙伴们都发现了一个灰常诡异的现象↓↓↓@股社区：发现了一件怪异的事，今天临收盘有一批股票遭遇统一的巨单砸盘，当然砸的还是蛮克制的，巨单就砸到平盘价格，不往绿盘砸。我整理了一下大概有20来支股票，上海板块的居多，从风格上看比较像是机构干的。[微博]的官方微信是这么说滴：盘面上看今日成交量大幅放大，创业板更是有1264亿的成交金额，创下近50个交易日的最高成交量，真正实现了量价齐升的良好态势。但美中不足的是个别股票疑似遭遇“国家队”打压，尾盘因受大单压制，生生被砸至翻绿，走势与大盘明显背离。基金君也注意到雪球的大V @唐史主任司马迁的分析，如下有说国家队要出货的，我表示反对。傻子都知道这样挂是出不了货的。国家队要出货，最笨也可以用原来扫单的机器一千手一千手“偷偷”卖。既然不是出货，那不外乎有两个目的：1、示威并平抑过快上涨。特力A之前被关掉，就是枪打出头鸟，明确了这一类型炒作是违背监管层意愿的。由于救市吃掉了很多脱离估值模式的个股流通部分。这些有妖股基因的货实际流通盘变得很小，很容易被大资金在市场气氛好时拉上去。这也是我这几天反复说的，要看量放出来的才是真涨。很多票几百万就轻飘飘拉上去了，这完全是非健康的高位割韭菜的前奏。所以，国家队亮出这些牌，并且向市场甩出部分流通筹码，是有利于平抑过快上涨的。只要筹码甩出去了，想拉起来就不容易。2、抑制指数过快上涨，为社保赢得时间。按照社保入市的说法，最快十月份会有钱进来，盯山东就可以知道风向。这些钱还没有筹好，指数就蹭蹭上去了，连个ETF的机会都不给怎么行？从今天的盘面上来看，基本是抑制大盘，放开小盘。小盘社保本来也不会买，涨就让它涨，恢复市场人气。先把大票压着。上海机场这样的，QFII都爱，社保如何不能买？综上，今天压盘的分两类：有妖股基因的亮黄牌，社保想要的先压着。这个逻辑看明天盘面能否验证。如果逻辑成立，明天将出现小盘股单边上涨。第一财经网的专栏作家禅宗七祖的分析是大致对照了一下，这些股票都是沪股通的标的，很可能是海外资金出逃。另有数据也显示：午盘沪股通卖盘力度持续加大，并已由早盘时段的净买入转为净卖出。城投控股为例，其尾盘有24万手卖单，在最后10分钟突然挂出，以昨天收盘价卖出。期间，大约成交了30多万手，金额4亿多元，占全天成交额的三成。如果是个案的话，那么主力或许是刻意打压股价吸筹，但是有十多只沪股通指标股都出现了这种走势，不太像此时吸筹。而且就像城投控股，它三季报预增185%到215%，它的市盈率才6.7倍，市净率刚2倍。由于这轮牛市上涨之际，它刚好都在停牌期，所以基本上没有怎么涨，这轮暴跌也没有怎么跌。同样，如果真想出逃，那么明知道一天跑不掉，那么自然是能跑多少就跑多少。不需要刻意告诉大家这里有超大卖单，引发更多跟风盘跑路，尤其是，果真不看好的话，那么何必挂在昨天收盘价卖出呢？比如用绿盘的方式卖出，显然可以出货更多。难道是外盘的风声不妙？截至发稿时，欧洲主要几个国家的股市开盘涨跌互现，它们盘整了三四天了，估计在等待方向选择。美国股市还有向上的势头，但是否重回升势再创新高还不好说。目前美国的经济情况还不错，如果美联储明年才加息，那么上涨的势头会延续。目前看来，沪股通资金用这种方式出走确实让人费解。还有一种可能，那就是用几十万手大卖单砸盘，换来明天的大幅低开，然后再行买入，然后降低成本，看好后市，借着大举拉升。以老狐狸的手法，这么大笔卖单造成投资者恐慌，继而形成一波抛压，挖出一个黄金坑。问题来了：股市特牛掰，空仓的人特烦恼空仓人的心情大概是这样的：基金君也采访了几位基金经理，把重点挑出来，希望能给大家带来一些帮助。对于目前的A股市场，深圳一家基金公司偏股混合型基金经理表示谨慎乐观。他认为，目前投资者情绪波动较大，资金对优质公司和垃圾公司的辨别能力仍然很弱，市场整体估值相对偏高。未来A股市场仍然存在结构性机会，新兴产业仍是未来主要的投资方向。对于A股何时完成调整，他给出了自己的判断标准：“股市调整结束的征兆有两个，一是存在核心竞争力的成长股估值回到合理区间，二是出现一两个走出独立行情的龙头板块。”中欧基金[微博]曹剑飞认为，市场在国庆前后发生了一些积极的变化。从多方面考量，股票市场的估值中枢或会有所抬升，市场下跌空间有限，来自经济转型领域的投资机会值得期待。例如新能源汽车、互联网+、生物医药等值得关注。博时基金[微博]宏观策略部总经理魏凤春[微博]认为，从资金看，散户的资金流入仍然有限，海外做多A股的力量有所释放。从技术形态上看，市场明显改善，趋势上继续转多。创业板指、上证50指相对偏强。看好股票本月内的表现，结构上偏向成长。如果市场对稳增长做反应，则可将计就计，兑现周期收益并转配成长。行业配置上看多轻工制造、基础化工、农林牧渔和计算机。主题上仍然看好国企改革、新能源汽车。南方基金建议投资者继续控制仓位耐心捕捉投资机会，关注稳增长相关的汽车、家电和地产行情，符合十三五规划的新兴成长也是长期看好方向。融通基金则认为，优质成长股将是这轮反弹的主力。华商产业升级基金经理佘中强认为，比较看好前期跌幅较大且符合政策导向的产业，诸如泛消费类行业，通过互联网产生实质性改变的领域。在四季度，侧重农业、新能源汽车、文化类产业等。他说，这些行业景气度均处于上升过程中，即使在存量市场中也将有不错的表现。上海朱雀投资高级合伙人王欢认为，总体跌了那么多，市场下降的空间有限，但这个过程中，行业和个股分化行情明显，好公司以后机会更大，投资者会更多考虑基本面、估值。虽然今天大面积飘红可能源于跌了那么久，一开始力度比较足，但市场还要反复磨底。目前我们保持中性、灵活的仓位，主要把握几条线的机会：一是稳定成长的行业，估值不是很高、但保持每年增长的一批公司可以考虑；二是跨越式成长的行业，比如移动互联网、高端制造等；三是一些偏周期行业，虽然在经济转型中比较弱，但估值已经被杀了很多，不排除会有机会出现。现在的市场给了我们一个布局的好机会，如果是好公司，跌了不要慌，涨得快也不要去追。北京星石投资总经理杨玲：我们依然看好消费板块，首先，在前期两轮的暴跌中，估值本身合理、业绩确定性较强的消费股遭到了错杀，在反弹过程中，成长型消费股一定会率先反弹起来；其次，以旅游、影视为代表的新兴成长性消费行情景气度持续高涨，从国庆长假的数据来看看，旅游、影视方面都有比较大的增长。后期有望市场会迎来震荡向上的行情。目前我们的仓位比较重。和聚投资：在板块方面，我们将投入更多研究资源在节能环保、信息技术、交运设备、医药、化工新材料、大健康、现代服务业等领域。深圳菁英时代基金管理公司副总裁罗志鹏认为：如果就此认为市场底部修复，还言之过早，因为市场信心的修复是个非常耗时的过程。这波反弹以目前市场的资金量来看，还是比较乐观的。我们认为，一场比较像样的反弹能够持续到年底之前。但未来好公司和坏公司的表现将出现分化，好的能再创新高，坏的很难再涨上去，市场开始看企业长期的价值。作为投资者需要审慎检验，看基本面、业绩能否兑现。我们建立了核心股票池，长期跟踪优秀成长性企业，把握中国转型中的契机，在大消费、大医疗、TMT、科技等前瞻性领域找机会，避开周期性行业，这些股票接下来能再创新高，不只是反弹。近期我们逐步买入好的公司，把仓位加上来。现在市场系统性、类系统性的风险发生的几率已经不高，我们会按照新兴产业价值股的投资逻辑，挑选好的股票。Detail: China fund newspaper Zhao Ting, Wu Jun, Fang Li, Liu Meng
today's heavy volume rose two. Shanghai Composite rose 3.28, the Shenzhen stock rose 4.18, the gem rose 4.52. All industries, the concept of plate across the board, the two cities about 200 stock trading, stocks rose 2286.
however small partners found a very strange phenomenon NaBH NaBH NaBH @ shares community: found a weird thing, today the temporary closing a unified a number of stocks suffered a giant single zapan, of course, hit is quite restrained, giant single hit flat prices, to the green plate hit. I have sorted out about 20 of the stock, the majority of Shanghai plate, from the style of the more like a body of the organization. [microblogging] the official micro channel is so say: the disk look today, the volume of a substantial amplification, the gem is a
turnover, the highest turnover of nearly 50 trading days, the real realization of the volume and price of good momentum. But the fly in the ointment is individual stocks suspected suffered a "national team" to suppress the late due to the suppression of large single, students smashed to turn green, market trend and deviate significantly.
fund Jun also noted that the snowball's big V @ Tang history director Sima Qian's analysis, as follows:
has said the national team to ship, I expressed opposition. Fools all know that such a hanging is not available. National team to ship, the most stupid can also use the machine with the original sweep one thousand hand one thousand hand secretly sell. Since
is not shipped, that only two objective: 1, demonstrations and stabilize the fast rising. Turn off before
A Bentley, is a gun fight bird, clear this type of speculation is contrary to the wishes of the regulators. As a result of the market to eat a lot of the valuation of the stock market in circulation. These stocks have a real circulation of the stocks of the actual distribution of the disc has become very small, it is easy to be a big money in the market atmosphere HERSHEY'S pull up. This is what I repeatedly said this a few days, to see the amount of it is really up. A lot of votes on the light, a few millions of light, this is completely the prelude to a healthy high cut.
so, national team flashed the cards, and to throw in a part of the flow of chips and is conducive to stabilize rising fast. As long as the chips are thrown out, it is not easy to pull up. 2, the inhibition index rose rapidly, to win time for social security.
according to social security into the city's view, the fastest in October will be rich in, staring at Shandong, you can know the direction of the wind. The money has not raised, index of dally up, even ETF the opportunity not to do?
from today's disk, the basic is to suppress the market, let the small.
small social security would not have to buy, let it rise up, restore market sentiment. First big ticket pressure.
Shanghai airport, QFII love, how can the social security can not buy? In summary, this plate can be divided into two categories: a monster gene of bright yellow, want to pressure on social security.
this logic looks at tomorrow's disk can verify. If the logic is established, the small cap stocks will appear unilateral rise tomorrow. Analysis of < first financial network columnist of the seventh patriarch of Zen Buddhism is < roughly compared, these stocks are Shanghai shares through the subject, is likely to be overseas capital flight. The data also showed that: after the Shanghai shares through selling efforts continue to increase, and by the early hours of net buying to net sales.
City Investment Holdings as an example, the late 240000 hand sell orders, in the last 10 minutes suddenly hang out, to yesterday's closing price to sell. During the period, about the turnover of about 300000 hand, the amount of
yuan, accounting for three of the turnover of the day. < if it is the case, then main may be deliberately to suppress Xichou shares, but only 10 through the Shanghai Stock Index Stocks appeared the trend, not quite like this Xichou. And just as the city investment holdings, its three quarterly advance by 185 to 215, its price earnings ratio was 6.7 times, the net rate of just 2 times. Due to the rise of this round of bull market, it is just in the suspension period, so basically no how to rise, this is not how to fall.
also, if you really want to escape, then know the day away, then is how to run and run many. Do not need to deliberately tell you here there is a large sell orders, causing more to follow the trend set foot, in particular, if you do not look good, then why hang on the closing price of the day? For example, in the way of the green disk to sell, it is clear that you can ship more.
is outside the wind is not good? As of press time, the major European countries stock market opened mixed each other now, their consolidation for three or four days, it is estimated that in waiting for direction selection. U.S. stocks are still upThe momentum, but whether or not to return to a new high rise is not to say. The current economic situation in the United States is also good, if the fed to raise interest rates next year, then the momentum will continue to rise. At present, Shanghai shares through funds in such a way that the people are difficult to run away.
there is a possibility, that is to use hundreds of thousands of hands sold single zapan, in exchange for tomorrow's opened sharply lower, and then buy, and reduce the cost, optimistic about the market outlook, by aggressively pulled. The old fox approach, such a large sell orders causing investors to panic, and the formation of a wave of selling, dug a pit gold. < problem: stock market especially cattle breaking and positions of people worry < short positions people's mood is probably this: < fund Jun also interviewed several fund managers, to pick out the key, hope to bring you some help.
for the current A stock market, Shenzhen, a fund company partial shares mixed fund managers expressed cautious optimism. He believes that the current volatility of investors, capital of quality companies and the company's ability to identify the company is still very weak, the market overall valuation is relatively high. Future A-share market is still a structural opportunity, emerging industry is still the main direction of investment in the future A. For A shares when the completion of the adjustment, he gave his own judgment criteria: the stock market adjustment is the end of the two, one is the existence of core competitiveness of growth stocks valuations return to a reasonable range, the two is the emergence of one or two leading plate out of the independent market."
Central European Fund [microblogging] Cao Jianfei believes that the market in the national day before and after the occurrence of some positive changes. From various considerations, the stock market valuation of the central or will be lifted, the market fell space is limited, investment opportunities in the field of economic restructuring is worth looking forward to. For example, new energy vehicles, the Internet, biomedicine, etc..
Boshi [microblogging] macro strategy department general manager weifengchun [microblogging] believe that the fund, the retail capital inflows are still limited and overseas buying a share of power has been released. From the technical perspective, the market has been significantly improved, the trend continues to turn more. Gem index, the Shanghai composite index is relatively strong 50. Optimistic about the performance of the stock within this month, the structure of the bias growth. If the market for the steady growth of reaction, can be counted, cash income and transfer growth cycle. Industry configuration bullish light manufacturing, basic chemicals, animal husbandry and fishery and computer. The theme is still optimistic about the reform of state-owned enterprises, new energy vehicles.
Southern Fund suggested that the investor continues to control positions patience to capture investment opportunities, concerned about the steady growth in the automotive, appliance and real estate market, in line with the 45 planning emerging growth is also optimistic about the long-term direction.
Financing Fund believes that high quality growth stocks will be the main force of this round of rebound.
She Zhongqiang, manager of the Chinese Industry Promotion Fund believes that the larger and more optimistic about the early decline in line with policy oriented industries, such as the pan consumer industry, through the Internet to generate substantial changes in the field. In the four quarter, focusing on agriculture, new energy vehicles, cultural industries, etc.. He said the industry boom is in the process of rising, even in the stock market will also have a good performance.
Shanghai Suzaku investment senior partner Wang Huan think, overall is down so much, the decline of the market space is limited, but in the process, industry and stock market differentiation significantly, well after the company more opportunities, investors will give more consideration to the fundamentals and valuation. Although this may be due to a large area rosy down so long, began efforts, but the market also repeated the end mill. We remain neutral, flexible positions, mainly to grasp the opportunity to take a few lines: first, stable growth of the industry, the valuation is not high, but maintained a number of annual growth of the compa two is a leap in the growth of the industry, such as mobile Internet, high-end manufacturing, etc.; three is a number of partial cyclical industry, although the economy is relatively weak, but the valuation has been killed a lot, do not rule out there will be opportunities. Now the market has given us a goo1.0.INTRODUCTION
There has been an extensive amount of paper examining the relationship between real estate and stock market because of their importance in diversified investments in many countries but few in Chinese market. This paper is going to explore the correlation between Chinese real estate and stock market price.
Since the evolution of Chinese real estate monetization in 1998, the huge demand for consumption in real estate has been released and real estate market has been a great development and prosperity. More and more families invest in real estate, as well as institutional investor, real estate market has been an important part of capital market and real estate has been an important choice in diversified portfolios for institutional investors. The great development of real estate market has been the one of the most important factors to push the sustainable and fast growing economy for our country. On the other hand, we can see that the characteristics of both actual asset and virtual asset of real estate show up gradually, i.e. there is also a big development for REITs market recent years. Therefore, real estate and stock have been the top two important assets in investment portfolios for domestic investors, perhaps also for international investors.
However, the considerable developments for real estate and stock market show their significant big fluctuations at the same time. There are three times of peak and twice of trough for Chinese real estate price index experienced from January 1998 to October 2004, and even declined by 15.78% within three months. It is more volatile for stock price. The stock price had decreased by 726.3 points within eight months and had made the miracle that increased by 800 points in the month of March 2007. The significant fluctuation within short term time period for assets price combined with the emergence of real estate bubble in recent years, people are worrying about the future of Chinese market. Some experts are expecting the real estate bubble will burst in the near future. As one of the independent economists Guo Zhong Xie forecasted in his article that asset bubble will burst in 2012. In this context, it is a hot topic to explore how to implement the sustainable and healthy development for capitalist market. While the study on correlation between real estate market and financial market, especially with stock market, has became an emerging area for Chinese academic research.
Consequently, based on my view, to explore the correlation between real estate and stock market price in Chinese market is beneficial to optimize the diversified portfolio for investors. What’s furthermore, it gives some reference for Chinese government to formulate macroeconomic policy, to obtain the effective supervision of diversified and multi-level capital market, to adjust capital flow in different markets and to boost the sustainable development of real estate and stock market.
In recent decades, many countries experienced or are experiencing the negative impact caused by the fluctuation of assets’ price. The US real estate market experienced rapid development after the internet bubble in 2000 and then followed by the 2008 sub-prime crisis which made the US& market enter to a recession. Japan had three times of land price increasing and depression in the past forty years. What’s more, Thailand’s over-developed real estate industry stimulated the capital market bubble and then lead huge amount of banks’ bad debt. These became the direct and indirect incentives of Asian financial crisis. Currently, China is facing continued high real estate price level, and the real estate bubble has occurred. If this is warning us that there is hiding something in Chinese market which is similar to the factors lead Asian financial market? How to evaluate the boom of current real estate and stock market? How to understand the linkage mechanism of real estate market and financial market, particularly with the stock market? These are the questions I am trying to explore.
1.2. LITERATURE REVIEW
As a mature industry of development countries, the researches on real estate are mostly focus on its economic level. For example, they studied a lot on the technical pricing for real estate, mortgage and estimation of repayable risk, but very few on the behaviour of investment in real estate. There are many literatures for the study on relationship between real estate market and financial market, but very few with stock market, particularly for Chinese market.
The study on the relationship between real estate market and financial market has been increasing in these years. Some of them are focused on empirical study and some are quantitative analysis. Allen and Gorton (1993) constructed a continuous time-limited model, and then Allen et al. (1998) developed a simple model, with this model, they think that the agency problem caused by banking sectors’ intermediary function finally led the formation of asset bubble. Wong (1998) explained the reasons of the collapse of Thailand’s real estate market before Asian financial crisis throug he thinks that the continuous growing economy not only created excess demand for real estate, but also increased people’s optimistic expectations of future market prospects, thus formed the over-supply and bubble for real estate market. On the other hand, Herring (1998) studied the relationship between real estate boom and the banking crisis through international perspective, by constructing the credit market model and combining the Carey model, he concluded that the concentration of bank loan led to the real estate market boom, but the real estate boom also brewing the banking crisis. These papers disclosure that there do is relationship between real estate market and financial market.
The researches focus on the correlation between real estate and stock market are not very plentiful. Some researchers use panel data to analyze the relationship between real estate prices and stock prices. Daniel C. Quan and Sheridan Titman (1998) selected 14 years of annual data on stock returns, real estate values and rents for the major cities in the US, UK, France, Germany and other countries, conducted a cross-section regression analysis on the data and the result shown that there is close link between each country’s stock returns, real estate values and rents. Prior to this, Douglas R. Sease and Craig Torres (1989) pointed out that the real estate price declining was the important reason of Dow Jones Industrial Average fell below 2700 points, the problem of a lot of bad mortgage loans deteriorated. Later, Case, Quigley and Shiller (2001) produced the quantitative analysis on the relationship among consumption expenditure, income, stock wealth and housing wealth by using the annual data from the US, France, Belgium, Finland and other developed countries, they found that stock market wealth effect is weak while the real estate market wealth effect is relatively strong. What’s more, according to the Standard and Poor housing price index, Marlys Harris (2007) found that although the average annual growth of U.S. real estate prices is 12.4% from 2001 to 2006, but in the long term, the annual real estate investment return is only 8.6% from 1978 to 2004, while the Standard and Poor Index increased by 13.4%.&
On the other hand, more researchers analyze the relationship between real estate prices and stock prices based on the time series data, nevertheless, the findings are not so agreed. Naranjo (1990) analyzed the U.S. quarterly data by using non-linear regression analysis and found that commercial real estate market and stock market influence each other, more obvious effect in 1990. Okunev and Wilson (1997) conducted the analysis of unit root cointegration tests and linear regression on the U.S. monthly data, then found that there is non-linear relationship between real estate market and stock market but not significant. The empirical analysis on the relationship among land price, return on land by Stone and Ziemba (93) which based on Japanese annual data stated that there is trend of positive correlation between stock prices and land prices, and the relationship between stock prices and commercial land prices is more closer. Also David C. Ling and Andy Naranjo (1999) tested the correlation between commercial real estate market and stock market with multi-factor asset pricing model and the result show that there is a close relationship between real estate prices and non-real estate stocks.
In further studies, Nan-Kuang Chen (2001) disclosure that the stock prices is the Granger cause of real estate prices changing and explain this in the view of credit mechanism by studying the fluctuations of
Taiwan stock prices and housing prices. Raymond Y. C. Tse (2001) concluded that real estate market is the determinant factor of the volatility of stock market by researching the Hong Kong stock market and real estate market. He also implied the impulse response function VAR decomposition and found that unexpected changes in real estate prices directly affect the stock price volatility, there is cointegration between them. In addition, he explains the negative correlation between real estate market and stock market by using the mechanism of labor productivity.
Among Chinese research, there is not plenty researches on the relationship between real estate market (which is as dependent from capital market) and financial market, especially less with stock market. Existing studies on the correlation between real estate market and stock market’s price change still remain in the shallow qualitative analysis or a simple quantitative analysis. The results also are not agreed in Chinese academic.
He Hong (2005) used the qualitative analysis method based on the views of cash flow and capital asset pricing model-based market, found that the correlation between China’s stock market and real estate market is very weak and there is no interaction effects between these two market prices. Hong Tao and Gao Bo (2007) also used the qualitative method to analyze the impact on real estate investment from the stock price volatility, and found that in the certain conditions, substitution effect and crowing-out effect work more than wealth effect which lead to negative relationship between real estate prices and stock prices. This also explains the great contrast between China’s stock market and real estate market from 2001 to 2005.
After conducting empirical analysis for China’s stock market and real estate market’s monthly data from 1997 to 2003, based on it, Pi Shun and Wu Kangping (2006) constructed the data error correction model (ECM model), and linear and non-linear Granger causality test, and found that there is a long-term two-way linear causality but no non-linear Granger causality. Zhou Jingkui (2006) selected the data from 1998 to 2005 as to empirical analysis the fluctuation of China’s asset price and found that real estate prices change led to the fluctuations of stock prices. Moreover, the research by Zhao Jian (2007) on price fluctuation for stock market and real estate market from 1998 to 2005 found that there is quite significant correlation between them. Zhao also proposed that June 2002 as the breakpoint, before it there is a positive correlation which is under the guidance by stock price and after it there is a negative correlation which is under the guidance by real estate market. He used real estate developers’ credit mechanism and investors’ portfolio adjustments to explain it.&&
1.3. THE GAP
As an emerging area, research on the relationship between stock market and real estate market is full of dispute and different points, different study focus and framework. Besides, early researchers are focused on its theoretical explanation while the current researchers are more empirical analysis on the original argument by using the theory of experience.
In future research, we need to re-card and conclude on previews research results and obtain a further in-depth understanding. My paper will increase the analysis on VAR model impulse response function analysis based on the linear cointegtation analysis and Granger causality test, so that to increase the accuracy and precision of the function for real estate prices and stock prices. Then evaluate the relationship between these two markets with the view of empirical analysis objectively, and make appropriate and reasonable explanation. What’s more, provide advice and reference for us to deal with the relationship between real estate market and stock markets.
So the contribution of my paper will be:
i). First, I will recall the typical countries (the U.S., Japan and Thailand)’s real estate market and stock market price changes and long-term trends in historical context with the view of analysis from the perspective of international experience. According to this to determine , and to provide a useful reference for us to scientifically and reasonable deal with the relationship between real estate market and stock market.
ii). Second, this article will give a new study on the relationship between real estate market and stock market both in the perspective of qualitative and quantitative. In qualitative analysis, I will try to explain the “seesaw” or “prosperity” phenomenon of real estate market and stock market by using the theories of wealth effect, credit expansion effect and asset substitution effects. In quantitative terms, I will add more analysis on the impulse response function of VAR model so that to raise the precision and accuracy of the function.
2.1. RESEARCH QUESTIONS
Given the gap in the literature that I am going to fill, four research questions are stated as follow:
lIs there a relatively stable and significant relationship between China’s real estate prices and stock prices?
lIf this is the situation, which one is in the dominant position?
lWhat’s the stage of China’s capital markets and cha
lCan we control the fluctuation of asset prices so that we can keep a healthy and sustainable development of economy?
2.2. RESEARCH OBJECTIVES
Based on the research problems listed above, the objective of this research are:
lTo examine if there is a relatively stable and significant relationship between China’s real estate prices and stock prices.
lTo determine which one is in the dominant position, real estate market or stock market?
lTo determine the current stage of China’s capital market and the challenges it faced?
3.0. METHODS
Since China’s real estate market developed very late and the data and information for it is not so transparent, those real estate indexes are not fair and perfect, in order make the study more critical, I will choose monthly national commercial real estate sales price index (SP). For the stock market, I will use the end day closing indices of every month for Shanghai Composite Index (SH) and Shenzhen Composite Index (SH). The time period will cover from 1998 to 2010. These data are collected from the official website of China National Bureau Statistic, Shanghai Stock Exchange and Shenzhen Stock Exchange. All the statistic calculation will run on Eviews 6.0 together with Microsoft Excel 2007.
The methods I will use are listed below:
lDescriptive statistic analysis, this will be used to roughly compare the performance of stock market and real estate market. After analyze the descriptive statistic, we will know the condition of stock markets and real estate markets and their comparison.
lCointegration test, this will test if two or more series are individually integrated (in the time series sense) but some linear combination of them has a lower order of integration, then the series are said to be cointegrated.
&OStationary test, before the cointegration test, it’s necessary to have stationary test first, here I will use unit root test.
&OCointegration test, if we want to conduct Johansen cointegration test, we need to estimate a reasonable VAR the most important step is to determine the lagged variables.
lBuild VAR model, this involves using bivariate model to give a further analysis on those variables.
lGranger Causality Test, the Granger causality test is a statistical hypothesis test for determining whether one time series is useful in forecasting another. The theory is:
Let y and x be stationary time series. To test the null hypothesis that x does not Granger-cause y, one first finds the proper lagged values of y to include in a univariate autoregression of y:
yt = a0 + a1yt &#8722; 1 + a2yt &#8722; 2 + ... + amyt &#8722; m + residualt.
yt = a0 + a1yt &#8722; 1 + a2yt &#8722; 2 + ...amyt &#8722; m + bpxt &#8722; p + ... + bqxt &#8722; q + residualt.
&& (1). If ai=bi=0, (i=1,2,…m), then x and y are independent.
&& (2). If ai=0,bi≠0, (i=1,2,…m), then x is the cause of y.
&& (3). If ai≠0, bi=0, (i=1,2,…m), then y is the cause of y.
&& (4). If ai≠0, bi≠0, (i=1,2,…m), then x and y are cause of each other.
To conduct this test, I also will divide the data into three time period, 1998 to
to 2010, due to the characteristic of these three time periods. The result will also used to check if it is match my expectation and previews studies.
lImpulse response, in the VAR model, when a disturbance variable change, it will causes a series of chain reaction on every variable in each term through the variables’ dynamic relationship. Impulse response function is used to describe the dynamic reaction of the shocks to the system, and judge the delayed relationship between the variables from the dynamic response.
The detail analysis will depend on the results of these tests. And the specific instruction will depend on the specific situation I face during the data analyzing and testing.&
4.0. TIME SCALE
Prepare draft proposal by &&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&&3 May, 2010
Get supervisor’s approv
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