An Empirical Study On The Relationship Between Real Estate Price And Real Estate Stock Price

In the past ten years since the 21 st century,especially before 2017,the housing price in China has been rising steadily.At the same time,the real estate stock price of China seems to fluctuate up and down with the stock market,and does not show a stable trend.Then,is there a significant relationship between the price of real estate and the price of real estate stocks in China? This is the fundamental reason driving this research.The relationship between real estate stock price and real estate price seems to be a commonplace talk of an old scholar.Therefore,it is difficult to find its academic significance.However,this issue is related to the fierce conflict between the two famous theories in the academic circles.According to the Discount Cash Flow Model(DCFM),it is self-evident that asset fundamentals are essential to asset prices.However,according to the Capital Asset Pricing Model(CAPM)or Arbitrage Pricing Model(APT),the asset price is determined by the total asset return(stock market index)and the risk characteristics of a single asset,and the impact of asset fundamentals seems to be "neglected".The potential conflicts between the above models,though very sharp,have not attracted enough attention from the academic community.In this paper,the above two theories will be integrated into an empirical model to develop empirical research.Therefore,the results of the research not only have important practical meaning,but also have significant academic value.After analyzing the factors of influencing real estate stock price,this paper constructs an Arbitrage Pricing Model of real estate stock price,in which the explained variable is real estate stock price,and the explanatory variables are stock market index,gross domestic product(GDP),money supply and real estate macrocontrol policy.Then,based on the basic idea of Discount Cash Flow Model(that is,asset fundamentals determine asset prices),this paper modifies the arbitrage pricing model,and introduces the real estate price as an important variable.Thus,the theoretical model of this study is constructed,that is,the five-factor model of affecting the real estate stock price.Next,based on the monthly data,from January 2005 to June 2018,of the real estate sector stock index,Shanghai Stock Exchange Index,GDP,money supply,real estate regulation policy and housing price,the above theoretical model is empirically studied.It suggests that in the whole 162 months of the sample,there is no significant correlation between the real estate stock price and the housing price,but there is a significant correlation with the stock market,which is basically consistent with people's intuitive feeling.However,the research has not stopped.Based on the regression discontinuity method,the transformations of tightening real estate policy and easing real estate policy are taken as discontinuities to test the above theoretical assumptions.The result of regression discontinuity shows that when the real estate market is not regulated,the real estate market is expanding,and the impact of housing prices on the real estate stock price is significant.When it is regulated,the real estate market shows a contracting trend,and this impact is not significant.This conclusion can be explained by the expectation theory: when the easing policy causes the expansion of the real estate market,people's expectations of the real estate price and the real estate stock price are the same,which leads to a significant correlation between them;while when the tightening policy causes the contraction of the real estate market,people's expectations of the real estate and the real estate stock price are heterogeneous.It leads to the insignificant relationship between them.Then,taking the turning points of bull and bear markets as cutoffs,the above theoretical construction is tested.The empirical results are strikingly similar to the previous ones: in the expansion period of the stock market(bull market),there is a significant correlation between real estate price and real estate stock price,while in the contraction period(bear market and oscillation period)of the stock market,the relationship between the two is not significant.Finally,as a supplement to the empirical study,the Granger causality test of the relationship between the real estate price and the real estate stock price is carried out.It is found that the real estate price is indeed the Granger cause of the real estate stock price in the expansion period of the real estate market and the expansion period of the stock market.