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本文采用2006年1月至2009年8月我国10个大中城市“城房指数”数据,检验了新建商品住宅市场的有效性,结果显示市场无效是较为普遍的现象。进一步的研究说明,特定的市场参与者可以在无效市场中通过积极预测价格而获得更好的回报。但对一般投资者而言,由于目前调整持有房地产资产比例的投资行为将产生极高的交易费用,获得这一套利机会并不现实。如果未来我国资本市场上出现房地产衍生证券,该问题有可能得到解决,市场有效性也会得到提高。
This paper examines the validity of the new commercial residential market from January 2006 to August 2009 with the data of “City Housing Index” in 10 large and medium-sized cities in China. The results show that market inefficiency is a common phenomenon. Further research shows that specific market participants can obtain better returns in the inefficient market by proactively predicting prices. However, for the average investor, it is not realistic to obtain this arbitrage opportunity because of the current transaction costs of adjusting the proportion of real estate assets held in the possession. If the real estate derivative securities appear on the capital market in our country in the future, the problem may be solved and the market efficiency will be improved.