Analysis of Spillover Effect Brought about by the Change of the Real Estate Stock Price information: Based on a Empirical Analysis of Return Ratio in Hong Kong, Shen Zhen and Shang Hai

Abstract

The change of stock price information has effect capital market and real estate market. As economic globalization and financial integration deepen with the development of foreign trade, direct investment and capital flows, portfolio pricing in capital market should be based on a global information set. Using samples of Hong Kong, ShenZhen and Shang Hai real estate stock market during August 1,2007 to December 31,2009. I build a tri-variate VAR-GARCH-BEKK model to test change of volatility spillovers between real estate stock market and the empirical conclusion is: there is bi-directional volatility spillover before financial crisis. After financial crisis, there is significant bi-directional volatility spillover. Comparison based on fore-and-aft financial crisis, there is significant volatility spillover between real estate stock market and such spillovers is increasing.