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

With the continuous development of China's market economy,the stock market in our country has been rapidly upgraded while the market order has been further improved.Nowadays,the stock market is the barometer of the national economy,which has become one of the most important investment choices for investors.The price trend of stock market is closely related to the investors' wealth and their expectation.In addition,the rapid development of urbanization and the upward population trend have brought about the release of huge real estate demand.The real estate market has developed rapidly from 2002 to 2012.Nowadays,the government has regulated the real estate market more flexibly,and the 19th National Congress proposed that the mode of economic growth in the future will be a quality-based economic growth mode combining supply-side reform and appropriate demand-side stimulation.The government that pays close attention to the real estate market also shows the important role of the real estate market.From the microcosmic point of view of investors,more and more investors have participated in the stock market and real estate market at the same time.How to carry out asset allocation under the premise of chasing benefit maximization is the problem investors pay close attention to,and the asset allocation problem also needs to be traced back to correlation problem of the price in two market.In recent years,domestic and foreign scholars have done detailed research on the relationship between stock market and real estate market,but the correlation between the dynamic analysis of the literature is less,and each stage affected by the external macro and micro policy in different periods also differ.In this paper,granger causality test,DCC-GARCH model are used to do empirical analysis on the characteristics between the stock market yield and real estate market yield.Then we draw the conclusion:(1)From 2005 to 2017,the stock market yield is a Granger cause of the real estate market yield,while the real estate market yield is not the Granger cause of the stock market yield.(2)It is concluded that the stock market yield and the real estate market yield present different correlation characteristic in different stages.From 2005 to 2013,there is positive correlation between the stock market yield and the real estate market yield.From 2014 to 2017,there is negative correlation between two market yields.The investment characteristic of stock market and the consumption characteristic of the real estate market make capital polarized.(3)Among the macroeconomic factors,we find that both the GDP and M2 indicators have a positive effect on the correlation between stock market and real estate market returns.The correlation coefficient was larger during the new normal economy.In terms of market factors,real estate policies and interest rate can significantly increase the correlation.The performance of the stock market has not significantly affected the correlation coefficient.In terms of external factors,the impact of the financial crisis and the improvement of exchange rates can also enhance the correlation between the two markets.At the last part of this article,we also made a few suggestions:(1)The government should make diversified and flexible policies,taking into account the development of the stock market and the real estate market at the same time.(2)The government should encourage financial innovation and make the market capital flows healthy.(3)Establish the market stress testing system.(4)Investors should choose the appropriate investment portfolio considering their own anti-risk ability.