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Research on the Volatility of China's Real Estate Stock Market

机译：中国房地产股市波动性研究

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摘要

In order to understand the volatility and risks of China's real estate stock market, it is particularly important to effectively measure the daily fluctuations in the real estate stock market. This article analyzes China's real estate industry index and five representative companies of real estate listed companies in China (Wanke000002.SZ, China Overseas Development 00688.HK, China Evergrande 03333.HK, Country Garden 02007.HK, Poly Real Estate 600048. SH). The daily return rate data of is an experimental sample. Eviews tool is used to analyze the fluctuation characteristics of their daily returns. The results show that only the Poly Real Estate and real estate industry indices in the five listed companies and the real estate industry index are auto-correlation-only real estate. The industry index has ARCH effect, and further learns from GARCH and TARCH modeling that the volatility of the daily return rate series of the real estate industry index is aggregative and persistent, and there is asymmetry and leverage effect of the impact, which shows that the investor has an impact on the market. The negative news is very sensitive. When the stock price falls, it will sell the stock and cause the stock price to fluctuate.
机译：为了了解中国房地产股票市场的波动和风险，有效衡量房地产股市的日常波动尤为重要。本文分析了中国房地产行业指数和中国房地产上市公司的五大代表公司（Wanke000002.SZ，中国海外发展00688.HK，中国埃弗林德033333.HK，乡村花园02007.HK，Poly Real Estate 600048.HK） 。每日返回率数据是实验样本。 Eviews工具用于分析日常返回的波动特征。结果表明，只有五家上市公司和房地产行业指数只有多个房地产和房地产行业指数都是自动关联的房地产。行业指数有弓效应，进一步从GARCH和Tarch建模中学习，日元率系列的房地产业指数的波动性是综合和持续的，并且存在不对称性和杠杆效应，这表明了投资者对市场产生了影响。负面消息非常敏感。当股票价格下跌时，它将出售库存并导致股价波动。

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