The Correlation Between Stock Market Returns And Real Estate Returns In Chinese Market

In the background of the accelerating global integration process,the global financial markets are more and more closely,many scholars start to focus on the study of volatility correlation among the financial markets.The stock market and real estate market as major capital market in China,since their establishment,they both have obtained a very big progress.But in the process of their development,there is exist many problems between the stock market and real estate market,such as volatility is bigger,fluctuations are frequent,and the two market volatility is not independent,but is relative to some extent.The real estate has both investment and consumption attribute,The downs of the stock price and real estate price's fluctuation will affect the residents'wealth,thus affecting the residents'income distribution,consumption decision-making and spending,ultimately affecting the whole economic resource allocation and the balance between supply and demand.From the two market price trend of fluctuations,we find the two market presents different dynamic changes at different times,the changes is dynamic.The dynamic relationship between the two market reflects people psychological change in consumption and investment and policy role in it.So revealing the correlation between stock market and real estate in China can promote the healthy development of the two market and more perfect,and provide some valuable reference for macroeconomic policy makers and investors.In recent years,domestic and foreign scholars carried on the thorough research about the relationship between stock market and real estate market.But how the dependence of specific,we unable to agree on which is right,public opinions are divergent.This paper is based on the study of related literature at home and abroad,the understanding of perspective and methods at home and abroad,in consideration of traditional research methods,the paper divides two research phases according to the financial crisis,to introduce VAR-GARCH-BEKK model and DCC-GARCH model,further analyzing the two markets' Volatility spillover effect and dynamic correlation,using Matlab and Evivews software to estimate the parameter,comprehensively grasping the two markets,inner relationship.Considering special national conditions of our country,the article will use the theoretical analysis and the empirical model to study the.correlation of two markets.First of all,analyzing two market's transmission mechanism from both micro and macro perspectives,then by using the time series of ADF unit root test,building up VAR model,doing impulse response analysis,Granger test,VAR-GARCH-BEKK model and DCC-GARCH model,the correlation of the two markets'yield carries on the empirical research.According to the empirical results,the markets'yield was affected by the early fluctuation,and the volatility all have obvious clustering;in the period of January 2005 to December 2015,between the real estate market and stock market,there exists the real stock market to the estate market of one-way volatility spillover effect;The correlation coefficient of two markets'yield is with dynamic time-varying characteristics.In general,there is certain positive correlation between stock market return and real estate market return,our country stock market yields is a Granger cause of real estate market's yield volatility.But there is different correlation characteristics in two sub-samples interval.On the whole,the stock market almost occupy the dominant position in the relationship of the stock market and the real estate market.At the end of this article,based on empirical results and economic facts,analyzing the correlation in different periods and raise some viewpoints and suggestion on the development of stock market and real estate market.