中美股票市场与房地产市场关系的比较分析——基于经济危机环境的视角

Comparative Analysis of the Relationship between the Real Estate Market and the Stock Market in China and America——Based on the Economic Crisis Perspective

选取2007年到2010年中国与美国房地产销售价格指数数据、上证指数以及道琼斯工业平均指数的月度数据,通过VAR模型、脉冲响应函数以及Granger因果检验对中国与美国房地产市场和股票市场的相关性进行实证分析,发现中国股票市场能显著影响房地产市场,而房地产市场却不能显著影响股票市场,而在美国这种情况却恰好相反。

A series of data from 2007 to 2010 will be selected,which includes the real estate sales price index of China and America,Shanghai composite index and Dow Jones Industrial Average monthly data. Then these data will be used to make VAR model,impulse response function and carry out Granger causality test. Through this empirical analysis of the relationship between real estate market and the stock market in China and America,the conclusion will be made that Chinese stock market could significantly influence the real estate market,but the real estate market could not significantly affect stock market in reverse. However,it is exactly opposite in the United States.