CAJ | 학술논문

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。
방지산고표여기상관자산，포괄고시대반이급실체방지산지간적상관관계대투자조합구건이급고표기본면분석균유중요작용。본문통과사용DCC-GARCH모형，기우삼개시장지간구유교호영향적현실정황，분석료방지산고표여고표대반、방지산고표여실체방지산지간적동태상관관계，발현취정체수평이언전자적상관정도원원대우후자，이동시량충상관성적동태변화추세우구유흔고적상사도。차외，문장재투자조합적시각하진일보분석료방지산고표여삼충행업고표지간적상관관계，결과표명방지산고표여금융보험고표시투자조합우화시비상치득고필적량개호보품충。
Correlations between real estate stocks with related assets, which include general stocks and direct real estate, are very important and useful in the field of portfolio construction and stock fundamental analysis. By introducing DCC-GARCH model, the paper studies the current existence of the interaction among these three markets, and analyzes the dynamic correlation between real estate stocks and general stocks, while with the dynamic correlation between real estate stocks and direct real estate. It is found that the former correlation is much greater than the latter one, while the two correlations gain high similarities in the dynamic patterns. Additionally the paper analyzes the correlations between real estate stocks and stocks of other three industries to study the issues in asset allocations. The results show that real estate stocks and financial/insurance stocks are two complemented assets and should be highly considered when constructing optimal portfolios.