房地产企业资本结构对股价波动的传递效应分析
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引用本文:王 虹,唐媛媛.房地产企业资本结构对股价波动的传递效应分析[J].湖南大学学报社会科学版,2024,(2):68-75
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作者单位
王 虹,唐媛媛 (四川大学 商学院四川 成都 610065) 
中文摘要:中国房地产企业资本结构长期处于高负债、高杠杆状态。在二十余年的房地产高速发展过程中,高杠杆风险长期被忽视,甚至被认为是房地产企业发展的固有模式。在结构化GARCH模型中引入资本结构因素,检验房地产企业资本结构对股价波动的传递与溢出效应。研究发现:中国房地产市场具有结构化特征,杠杆乘数与股价波动具有同步性;过高的负债水平并不会提升房地产企业的规模效应,反而会抑制股票收益率的增长。
中文关键词:房地产企业  资本结构  股价波动  结构化GARCH模型
 
An Analysis of Transmission Effect of Capital Structure on Stock Price Fluctuation of Real Estate Enterprises: Based on the Structured GARCH Model
Abstract:The capital structure of China's real estate enterprises has been in a state of high debt and high leverage for a long time. In the process of rapid development of real estate for more than 20 years, the high leverage risk has been ignored, and it is even considered as the inherent model of the development of real estate enterprises. The capital structure factor is introduced into the structured GARCH model to test the transmission effect of the capital structure of real estate enterprises on stock price fluctuation. The results show that China's real estate market has structural characteristics, and the leverage multiplier is synchronized with the stock price fluctuation. Excessive debt level will not improve the scale effect of real estate enterprises, but will inhibit the growth of stock returns.
keywords:real estate enterprises  capital structure  stock price fluctuation  structured GARCH model
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