The Analysis Of The Impact Of China's Real Estate Stocks Yield On The Yield Stocks Of Commercial Banks

After joining the WTO, China's financial market is gradually opening up and the stock market to achieve full flow, the real estate market and commercial banks have also been rapid development, and the relationship between the two effects are strengthened, then how about the Real-Estate Risk Effects on Financial Institutions' Stock Return Distribution?This paper is to study.Before this, Chinese scholars have more research on the relationship between commercial banks real estate market risk. However, due to commercial banks and real estate in the late development of China's financial markets, the stock market return data is not comprehensive, they main research is that the credit issues of commercial bank real estate, mainly focused on the qualitative research such as commercial bank real estate credit risk classification, identification and causes, or study the Granger causality between the real estate market and commercial banks, but few from stock returns volatility and stock returns of the real estate market and commercial banks.Theoretically, Although China's commercial banks and real estate market later than the developed countries,,it does not exclude the effects of real-estate risk to commercial banks'stock return distribution,which is some degree of similarity with developed countries'. We can study the theory by means of developed country to study the situation in China, to identify the impact,the same point and difference between the two countries. Then,we can study distinctiveness of Chinese financial market in-depth, so, on one hand, we can avoid from applying mechanically theory of mature market, on the other hand, which can provide theoretical references in formulating relevant policies for China.From the angle of reality, China's real estate market and financial market reforms have achieved preliminary effect, but as the development of real estate market and financial markets and the stock market reform, the impact between the two markets are also deeper. So, how to formulate the right policies to ensure the real estate industry to adapt to the rapid development of social needs, and according to the changes in real estate returns to forecast commercial bank's earnings volatility, which can adjust the bank's credit policy, to develop a reasonable policy to control the risk of real estate, to make financial markets and real estate market healthy development.Firstly, it has carried on the review to the domestic and foreign experts' and scholars' views and methods, to discover the strengths and weaknesses, this provides reference for studying the effects of real-estate risk to commercial banks' stock returns distribution.Then analysis of both the timing diagram, and make the unit root test, and examine two relationships using the bivariate generalized autoregressive conditionally heteroskedastic (GARCH) methodology. First, the relationship between equity returns of commercial banks and the return of real-estate. Second, the relationship between conditional volatilities of the stock returns of the commercial banks and the return of real-estate. Several interesting results are obtained. First, the equity returns of the FIs considered follow a GARCH process and should be modeled accordingly. Second, as found in the literature, returns on REITs should be modeled using the Fama-French multiple factor model. However, this model has to be extended to incorporate a GARCH error structure. Third, all FI returns considered are highly sensitive to REIT returns and the effects are both statistically and economically significant. This is an indication that shocks to REITs returns spillover to the former markets.