[Type text] [Type text] [Type text] Research on the linkage and spillover effects between Chinese stock market and Real estate market

Guo Jianhua, Xu Songjin, Guo Jianhua, Xu Songjin
2014 BTAIJ   unpublished
Most of existing researches about the linkage between stock market and real estate market are concentrated in long-term cointegration and short-term causality, though few of literatures related to the Spillover Effects between two markets, they just spilt market to study volatility spillover effect by using unitary GARCH model, which easily resulted in market information loss. This paper, by constructing VAR/VEC model and VAR-MVGARCH-BEKK model based on cointegration theory and Granger
more » ... analysis, and especially with the National Real Estate Climate Index reflecting China's real estate market's running condition while with Shanghai Composite Index and Compositional Index of Shenzhen reflecting stock market's performance, tries to investigate the relationship and spillover effect between China's stock market and real estate market in an integrated and dynamic framework, which, compared with existing researches, may fully use related information between two markets and enhance the accuracy of analysis. The research results show that there is perennial weakly negative-going Equilibrium relationship between two kinds of markets, at the same time,there exist unidirectional volatility spillover effect and unidirectional causality from real estate market to stock market.