The Spillover Effect Of Stock Price Index On Real Estate Industry Of China

The current economy developed more and more closely,various industries correlated significantly enhanced, promoted and restricted each other. The connection between industry is not only reflected in the real economy,but performed in the capital markt,capital movement in capital market will be affected by industry’s expected return and risk in real economy resulting to price fluctuations.The spillover effect of stock price not only reflected the volatility transmission between industries, but also reflected the correlation of returns in a wide range of industries,so the industry’s spillover effect of stock price is of great significance for investors to allocate asset.The real estate, as the longest chain industry in China, affected steel industry, building materials industry, financial industry and even the whole national economy,and affected investors’judging for earnings forecast about future market, thus indirectly affected the trend of the stock index.Based on the 2009-2015 time series data, this article will use VAR-BEKK models to explore the mean and volatility spillover effect between real estate industry and its other related chain industries in the capital market. Results indicate that:From the point of a single industry, the five major parts of future volatility are significantly influenced by its previous value fluctuation with clustering. From the point of real estate industry and four other related sectors, The real estate industry has one-way mean spillover effect significantly to steel sector, and has two-way mean spillover effect to the financial sector, but there is no mean spillover effect between the real estate and building materials industry, between the real estate and the Shanghai composite index;the real estate industry has a significant two-way volatility spillover effect on steel and building materials industry, and the Shanghai composite index has one-way volatility spillover effect to the real estate sector, there is one-way volatility spillover effect from financial industry to the real estate sector.