| As the important industry of Chinese economy, the real estate industry is affecting economic development. The stock marker is a barometer of the national economy.Correlation between the stock market and real estate market is not only important for investors to avoid risk, but also affected the formulation of national macro policies.The real estate stock as an investment in shares of stock, and to study the relationship between the stock market and real estate to help investors to make the investment portfolio, while the domestic research on real estate stocks and real estate, the real estate market is less.This pape select 147 time series data from 2002 January to 2014 April,study the volatility of national housing boom index, Shanghai Composite Index and the real estate stock index,and the relationgship between each other. The previous just research on the relationship between real estate market and the stock market, this paper joined the real estate stocks, through the establishment of GARCH model to analyze the volatility of the three, finding volatility is greatly influenced by policies and messages, and then analyzing the correlation between real estate stocks and other two.We performed the cointegration test, Granger causality test, dynamic correlation studies of time series volatility using DCC-GARCH model, using the constant coefficient to study the relationship between the time series of the fluctuation of the smaller.By analyzing the relation between the three, the real estate stock and stock market relate more closely, the risk of correlation between Real estate and real estate stocks is small, and the conclusion that the fluctuation of correlation between real real estate and the other two is not time-varying. |
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