[18]干杏娣,楊金梅,張軍.中國央行外匯干預(yù)有效性的事件分析研究[J].金融研究,2007,(9):82-89.
[19]劉紅忠.金融市場學(xué)[M].上海:上海人民出版社,2003.
[20]邱強.限購政策對房地產(chǎn)市場的影響[J].上海房地,2011,(9):11-12.
[21]李紹榮,陳人可,周建波.房地產(chǎn)市場的市場特征及貨幣調(diào)控政策的理論分析[J].金融研究,2011,(6):33-45.
[22]華民.房地產(chǎn)市場沒有一般均衡[J].世界經(jīng)濟情況,2009,(7):4-9.
[23]梁云芳,高鐵梅.中國房地產(chǎn)價格波動區(qū)域差異的實證分析[J].經(jīng)濟研究,2007,(8):133-142.
Regional Differences of Policy Effects in Chinese Housing Markets
——Based on Event Study Methodology
YANG Ling-ling
(Yunnan Normal University,College of Economics and Management,Kunming 650500,China)
Abstract:This paper tests the comprehensive policy effect in residence housing market of China between 2010 and 2011 by using event study methodology.Selecting four typical independent events of housing controlling policies,the author calculates and comparatively analyzes the abnormal return series of daily deal area in 40 middle and large cities,and comes to the conclusion that (1) none of these housing policies demonstrated significantly lasting effects because of residences’ adaptive expectation ahead of the coming policies,and (2) more importantly,great differences of housing policy effects were verified in the eastern,middle and western areas of China.Therefore,a possible suggestion should be establishing distinctive regional housing policies among those areas in order to strengthen the effect of current comprehensive polices.
Key words:comprehensive hosing policy;regional differences;event study methodology
[責(zé)任編輯 王玉妹]
收稿日期:2013-12-08
基金項目:2013年度云南師范大學(xué)青年科學(xué)基金項目(13SQ06)
作者簡介:楊玲玲(1981-),女,云南昆明人,講師,博士,從事金融市場、國際金融研究。
①本文還注意在選取各區(qū)間長度時,避免本次事件窗口期與下次事件的估計窗口重疊。
②S2
ARit=
·
1+
+。其中,(an-60)和(an-20)分別為事件發(fā)生日前60天和前21天;ARit,est為估計期內(nèi)第i個城市商品房在第t日的異常收益率;[AR]i,est為估計期內(nèi)第i個城市商品房異常收益率的均值;Di為估計期的長度;Rmt,event和Rmt,est分別為房地產(chǎn)市場在事件期間第t日和估計期間第t日的收益率;[R]mt,est為房地產(chǎn)市場在估計期間的日均收益率的均值。
①Zt和Z(t1,t2)均符合標(biāo)準(zhǔn)正態(tài)分布。
②本文限于論文篇幅僅列出主要事件日的檢驗結(jié)果。讀者如有需要,可直接向作者索要。
注:“+”表示收益率為正值的天數(shù),“-”表示收益率為負(fù)值的天數(shù)。
[19]劉紅忠.金融市場學(xué)[M].上海:上海人民出版社,2003.
[20]邱強.限購政策對房地產(chǎn)市場的影響[J].上海房地,2011,(9):11-12.
[21]李紹榮,陳人可,周建波.房地產(chǎn)市場的市場特征及貨幣調(diào)控政策的理論分析[J].金融研究,2011,(6):33-45.
[22]華民.房地產(chǎn)市場沒有一般均衡[J].世界經(jīng)濟情況,2009,(7):4-9.
[23]梁云芳,高鐵梅.中國房地產(chǎn)價格波動區(qū)域差異的實證分析[J].經(jīng)濟研究,2007,(8):133-142.
Regional Differences of Policy Effects in Chinese Housing Markets
——Based on Event Study Methodology
YANG Ling-ling
(Yunnan Normal University,College of Economics and Management,Kunming 650500,China)
Abstract:This paper tests the comprehensive policy effect in residence housing market of China between 2010 and 2011 by using event study methodology.Selecting four typical independent events of housing controlling policies,the author calculates and comparatively analyzes the abnormal return series of daily deal area in 40 middle and large cities,and comes to the conclusion that (1) none of these housing policies demonstrated significantly lasting effects because of residences’ adaptive expectation ahead of the coming policies,and (2) more importantly,great differences of housing policy effects were verified in the eastern,middle and western areas of China.Therefore,a possible suggestion should be establishing distinctive regional housing policies among those areas in order to strengthen the effect of current comprehensive polices.
Key words:comprehensive hosing policy;regional differences;event study methodology
[責(zé)任編輯 王玉妹]
收稿日期:2013-12-08
基金項目:2013年度云南師范大學(xué)青年科學(xué)基金項目(13SQ06)
作者簡介:楊玲玲(1981-),女,云南昆明人,講師,博士,從事金融市場、國際金融研究。
①本文還注意在選取各區(qū)間長度時,避免本次事件窗口期與下次事件的估計窗口重疊。
②S2
ARit=
·
1+
+。其中,(an-60)和(an-20)分別為事件發(fā)生日前60天和前21天;ARit,est為估計期內(nèi)第i個城市商品房在第t日的異常收益率;[AR]i,est為估計期內(nèi)第i個城市商品房異常收益率的均值;Di為估計期的長度;Rmt,event和Rmt,est分別為房地產(chǎn)市場在事件期間第t日和估計期間第t日的收益率;[R]mt,est為房地產(chǎn)市場在估計期間的日均收益率的均值。
①Zt和Z(t1,t2)均符合標(biāo)準(zhǔn)正態(tài)分布。
②本文限于論文篇幅僅列出主要事件日的檢驗結(jié)果。讀者如有需要,可直接向作者索要。
注:“+”表示收益率為正值的天數(shù),“-”表示收益率為負(fù)值的天數(shù)。