Chinese Stock Market And Real Estate Market Correlation Empirical Research

Since the establishment of Shanghai and Shenzhen Stock Exchange in the1990s, which indicated the China stock market was officially born. After more than twenty years development and growth, stock market has been playing more and more important role in Chinese financial and economic development. At the same time, as Chinese government introduced marketization strategy into real estate industry in1998, the real estate market has been growing rapidly since then. With the features of both normal commodity and financial products, real estate has become one of the most important driving-force of Chinese economic growth. Being two of the most important markets, it is significant to research the linkage and interaction between stock market and real estate market.The relationship between stock market and real estate market has been studied by scholars from home and abroad, and most of their results indicated some linkage between these two markets, but some Chinese researchers hold different views. This article aims to study the relationship between Chinese stock market and real estate market in long-term and during different periods based on the results of previous studies, and then make some policy recommendations following the study conclusion.Since Vector Auto Regression model is one of the most effective methods to study two economic indicators and do forecasting, VAR has been widely used in relative research of stock and real estate markets.This article is based on the former research results, and combines theoretical study with empirical models and practical situation in China to study the relationship between stock market and real estate market. The main contents are as follows:(1) This article did some literature research on relationship between stock markets and real estate markets, and organized the conclusion in a systematic way.(2) By using the ADF test, building up VAR model, doing impulse response analysis,variance decomposition, Granger test and Engle-Granger cointegration test, it has been found that between1998and2011, Chinese stock market price is the Granger reason of real estate market, and some linkage does exist between the two markets. Based on empirical model and economic facts, the whole sample is divided into several sub-samples, and relationship between two markets is further studied in different periods.(3) At the end of this article, some viewpoints and suggestions on the development of stock market and real estate market have been raised referring to some international experience.