Analysis of the Interaction between China's Real Estate and Stock Market through Co-integration Test

Abstract

This paper analyzed the transmission mechanism of the interaction between the real estate market and stock market. The real estate and stock markets showed a certain positive interaction through credit expansion effect and the wealth effect. And to some extent, the conduction effects of macroeconomic promoted the interaction degree of the real estate and stock markets. This paper analyzed the interaction between China's real estate and stock market through Co-integration test, Granger causality test, VAR model and impulse response functions. According to the empirical results, there was a long-term co-integration relationship between the China's real estate and stock markets. Keywords—Stock Market, Real Estate Market, Co-Integration Relationship 中国房地产市场与股票市场关联性的实证分析