【作者】 张博；

【导师】 者贵昌；

【作者基本信息】 云南师范大学 ， 金融学， 2022， 硕士

【摘要】 近些年来,随着我国资本市场开放进程的不断加快,促进了我国股市的迅速发展。金融自由化为我国带来了很多好处,国际投资的进入降低了融资成本,进而促进了投资繁荣和经济增长。但是,大量外资流入使得我国经济更容易受到国际资金流动的影响。可以说资本市场开放既是机遇也存风险。房地产行业作为我国支柱型产业对我国的经济发展有着重要的作用,房地产行业安全发展关乎国家的经济稳定。因此,资本市场开放会对房地产行业股价产生怎样的影响是非常值得探究的一个问题。本文基于房地产股票价格波动性角度出发,以沪港通、深港通政策作为资本市场开放的标志性事件,选取沪港通、深港通政策开通前后3年的房地产股票数据,运用双重差分模型分析资本市场开放对房地产行业股价波动性的影响,得出以下几点结论。(1)基于深港通政策对房地产股价波动的影响,发现深港通政策实施有效降低了房地产股价波动性,主要降低股价普通波动性、股价振幅、股价波动性聚集性和股价收益率波动性;市场开放程度低的时候,深港通有效降低了房地产股价普通波动性和、股价振幅和股价收益率波动性;且无论市场高低,深港通均能有效的降低房地产波动聚集性;但没有对房地产股价极端波动产生影响,深港通对信息环境好的房地产企业股价波动的抑制作用更强。(2)基于沪港通政策对房地产股价波动的影响,沪港通短期提高了房地产股价波动性,这是因为受到A股市场周期性波动的影响。长期降低了房地产股价波动性,主要降低股价普通波动和股价振幅;市场开放程度低,沪港通政策降低了房地产股价普通波动性和股价振幅;市场开放程度高,沪港通提高了房地产股价波动聚集性和崩盘风险;沪港通对信息环境差的房地产企业的股价波动性抑制作用更强,同时会提高信息环境好的房地产企业的股价波动聚集性,但降低跳升风险。本文的研究结论证明了,总体上资本市场开放能有效降低房地产股价波动;但是随着市场开放程度的提高沪港通政策却会提高房地产股价崩盘风险和波动聚集性;且国外投资者能促使企业提高信息披露质量,提高股价信息含量的方式降低股价波动性。本文的研究一方面补充了房地产风险影响因素和资本市场开放政策效应的相关内容,另一方面也为资本市场开放的相关理论和政策制定提供了一定的参考价值。更多还原

【Abstract】 In recent years,with the continuous acceleration of the opening process of Chinese capital market,the rapid development of Chinese stock market has been promoted.Financial liberalization has brought many benefits to China.The entry of international investment has lowered financing costs,thereby promoting investment prosperity and economic growth.However,the large inflow of foreign capital makes Chinese economy more vulnerable to the impact of international capital flows.It can be said that the opening of the capital market is both an opportunity and a risk.As Chinese pillar industry,the real estate industry plays an important role in Chinese economic development.The safe development of the real estate industry is related to the country’s economic stability.Therefore,how the opening of the capital market will affect the stock price of the real estate industry is a question worth exploring.Based on the volatility of real estate stock prices,this paper takes the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect policies as the landmark events of the opening of the capital market,selects the real estate stock data for three years before and after the opening of the Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect policies,and uses the DID model.After analyzing the impact of the opening of the capital market on the stock price volatility of the real estate industry,the following conclusions are drawn.(1)Based on the impact of the Shenzhen-Hong Kong Stock Connect policy on the volatility of real estate stock prices,it is found that the implementation of the Shenzhen-Hong Kong Stock Connect policy has effectively reduced the volatility of real estate stock prices,mainly reducing the common stock price volatility,stock price amplitude,stock price volatility aggregation and stock price yield volatility;When the market openness is low,Shenzhen-Hong Kong Stock Connect can effectively reduce the general volatility of real estate stock prices,stock price amplitude and stock price yield volatility;and no matter the market is high or low,Shenzhen-Hong Kong Stock Connect can effectively reduce the volatility and aggregation of real estate;but no It has an impact on the extreme volatility of real estate stock prices,and the Shenzhen-Hong Kong Stock Connect has a stronger inhibitory effect on the stock price fluctuations of real estate companies with a good information environment.(2)Based on the impact of the Shanghai-Hong Kong Stock Connect policy on the volatility of real estate stock prices,the Shanghai-Hong Kong Stock Connect has increased the volatility of real estate stock prices in the short term,because it is affected by the cyclical fluctuations in the A-share market.It has reduced the volatility of real estate stock prices for a long time,mainly reducing the general volatility and stock price amplitude;the market openness is low,and the Shanghai-Hong Kong Stock Connect policy has reduced the general volatility and stock price amplitude of real estate stock prices;the market openness is high,and the Shanghai-Hong Kong Stock Connect has increased the volatility of real estate stock prices Agglomeration and crash risk;Shanghai-Hong Kong Stock Connect has a stronger inhibitory effect on stock price volatility of real estate companies with poor information environment,and at the same time will improve the stock price volatility aggregation of real estate companies with good information environment,but reduce the risk of jumping.The research conclusion of this paper proves that the opening of the capital market can effectively reduce the volatility of real estate stock prices in general;however,with the improvement of market openness,the Shanghai-Hong Kong Stock Connect policy will increase the risk of real estate stock prices crashing and volatility aggregation;and foreign investors can encourage enterprises to Improve the quality of information disclosure and reduce stock price volatility by increasing the information content of stock prices.On the one hand,the research of this paper supplements the relevant content of the factors affecting the real estate risk and the effect of the capital market opening policy,and on the other hand,it also provides a certain reference value for the relevant theories and policy formulation of the capital market opening.更多还原