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为分析在空间维度上的价格信息影响,进行了住宅市场效率研究。利用向量自回归模型和北京等7个城市2003年6月至2007年7月的住宅价格数据,检验城市间的住宅价格的信息传递性和住宅市场空间效率。研究表明:中国相邻城市间的住宅市场空间效率较高,而不相邻城市间的住宅市场表现出空间非有效性,即不相邻城市间的住宅价格具有可预测性。投资者可以通过分析其他城市住宅价格变化的历史信息预测某一城市当前的住宅价格。住宅市场存在无风险套利机会。
In order to analyze the impact of price information in the spatial dimension, a study of residential market efficiency was conducted. Using vector autoregressive models and housing price data from July 2003 to July 2007 in seven cities including Beijing, we test the information transmission of residential prices in cities and the space efficiency of residential markets. The research shows that the residential space between adjacent cities in China is more space-efficient, while the non-adjacent residential markets show ineffectiveness in space, that is, the price of housing in non-adjacent cities is predictable. Investors can predict the current residential prices in a given city by analyzing the historical information about changes in housing prices in other cities. Housing market risk free arbitrage opportunities.