The Positive Analysis Of The Relationships Between The Shanghai Composite Index, Financial Sector Index And Real Estate Sector Index After "New-Country-Ten"

For a long time, the close relationship between the financial industry and the realestate industry in the field of the real economy is already confirmed by a largeamount of historical experience. But the related research is is still relatively rarelyfound from the capital market perspective. Especially after the most stringent "newcountry ten" in the history of real estate control policies came into effect on April17,2010，what kind of price linkage relationship between the bank sector and the realestate sector which are the weight plates of Shanghai Composite Index exists?This article uses the returns of financial sector index and the real estate sectorindex compiled by the Shenyin Wanguo Securities as the behavior feedback of thefinancial industry and the real estate industry in the A share marekt, studying thevariation of the Shanghai Composite Index, the financial sector index and the realestate sector index since April19,2010, especially the linkage between theabove-mentioned sector index. By applying the theory of volatility spillover andlinkage effects, this article makes a comprehensive use of the method of thecointegration test, Granger causality test, multivariate GARCH model, the impulseresponse function, volatility spillover and linkage effects and etc, making asystematic research on the causal relationship between the of sections, volatilityspillovers and the linkage between the sectors.After research, we draw the following main conclusions: First, in the long run,there exist a long-run equilibrium relationship between the Shanghai CompositeIndex and the financial sector index and the real estate sector index. It is partlybecause the financial and real estate sector account for a relatively large weight in inthe share of the Shanghai Composite Index. We still find that the return of the realestate sector has a certurn effect on the return of the Shanghai Composite Index andthe financial sector index. And the return of the financial sector index is basicallyinfluenced by the return of the Shanghai Composite Index and the real estate sectorindex. The most prominent conclusion of this paper are is that from the positive analyisis of the linkage there exist apparently distinctive nonlinear and dissymmetricspillovers and linkages effect between the returns and volatilities between the theShanghai Composite Index and the financial sector index and the real estate sectorindex.