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房地产股票与其相关资产,包括股市大盘以及实体房地产之间的相关关系对投资组合构建以及股票基本面分析均有重要作用。本文通过使用DCC-GARCH模型,基于三个市场之间具有交互影响的现实情况,分析了房地产股票与股票大盘、房地产股票与实体房地产之间的动态相关关系,发现就整体水平而言前者的相关程度远远大于后者,而同时两种相关性的动态变化趋势又具有很高的相似度。此外,文章在投资组合的视角下进一步分析了房地产股票与三种行业股票之间的相关关系,结果表明房地产股票与金融保险股票是投资组合优化时非常值得考虑的两个互补品种。
The correlation between real estate stocks and their underlying assets, including the stock market and real estate, plays an important role in the construction of portfolio and fundamental analysis of stocks. By using the DCC-GARCH model and based on the actual situation of interaction between the three markets, this paper analyzes the dynamic relationship between real estate stock and stock market, real estate stock and real estate, and finds that the former is related to the whole level The degree is far greater than the latter, but at the same time the dynamic changes of the two correlations have a high degree of similarity. In addition, the article further analyzes the correlation between real estate stock and three kinds of industry stocks from the perspective of portfolio. The result shows that real estate stock and financial insurance stock are two complementary varieties which are worth considering in portfolio optimization.