摘要
以香港房地产市场作为研究对象,在长期均衡模型和误差修正模型的基础上,通过构建一个两阶段测量模型,检验市场信息半强式有效性。实证分析结果显示,香港房地产市场的半强式信息有效性假设在0.01的显著水平被拒绝,其长期均衡价格与租金指数、房屋交易量和家庭收入水平三者线性相关;房价与长期均衡状态的偏离仅部分地被修正,市场中信息并未得到充分、及时的反映。
This study aims to examine the semi-strong form informational efficiency of Hong Kong real estate mar- ket.A two-stage regression model is set up based on long-term equilibrium model and error correction model.The empirical results show that,in the Hong Kong real estate market,the semi-strong form informational efficiency hy- pothesis is obviously rejected at the significant level 0.01 and the long-term equilibrium price is linearly related with the rental index,trading volume and household income.The divergence of the housing price from its long-term equilibrium state is partly adjusted which indicated that the information cannot be reflected fully and instantaneous- ly inconsistent with the efficiency hypothesis.
出处
《建筑经济》
2010年第5期46-50,共5页
Construction Economy
关键词
房地产市场
信息有效性
长期均衡模型
误差修正模型
real estate
informational efficiency
long-term equilibrium model
error correction model
