| The Real estate Market and Stock Market in China has grown fast and made a great progress since it was founded. However, the risk and volatility of these markets are much larger than that of foreign markets. What makes people closely mentioned is the unstable factors of these two markets. Especially, the abnormal and supernormal undulation of these markets appear frequently. Affected by China’s specific economic environment, the developments of China’s real estate market and stock market have its own unique characteristics.There is an internal link between volatility of the two markets. So we can study the correlation between the real estate market volatility and stock market volatility. it will be more easier and accurate for us to understand the fluctuation characteristics of the Real estate market and Stock market in our country with the research on the influence factors and volatility characteristic of the market. For the government, to supervise and manage the market will be more effective, and it can evade the financial risk as well. On the other hand, it can reduce the investment risk and make the investment income maximum for the investor. It is obviously that it can evade the risk of the market and regulate the market behavior. So it is necessary and important to study the volatility character between the Real estate market and Stock market when they are developing. Obviously, it not only has huge application value to research the Real estate market and Stock market in China,but also has great theoretical significance.In this paper, on the basis of the research at home and abroad, we introduce the singnificant background of this article at the beginning and analysz China’s real estate market volatility characteristics and stock market volatility characteristics, through establishing the ARCH model family; Then we study the volatility fluctuations between the real estate market and the stock market. Specifically, this paper is divided into seven chapters. On the basis of first chapter, chapter Ⅱ mainly study the development status of the real estate market and the stock market, and analysz the fluctuation characteristics and the interaction between the two mechanisms. Then I confirm the model that I will use in the article, through introducing applicability and practicality of the ARCH Models. After that Chapters four and five research the volatility characteristics of China’s real estate market and stock market through empirical analysis. I regard Shanghai composite index returns and Housing sales price index returns from1998to2011as the main study objects. And try to use the ARCH models to analyze the statistics characteristics with the statistic software Eviews6.0. I discuss all aspects of volatility characteristics in these two markets with ARCH models. Then we can summarize that the effect called GARCH exists in the return of the Real estate market and Stock market. And the investment in Real estate is more risk-averse compared with the people in stock market.The series datum exists ARCH effects. There is asymmetric effect of volatility in the series datum, and the leverage effect exists obviously in stock markets of Shanghai, which means bad news cause more effect than the good news on the equal size, but the housing market does not exist the leverage effect. However, in Chapter six,I will analyze correlation between the real estate market volatility and the stock market volatility through Empirical Analysis. I conclude that the mono-spillover effect is one-way binary by spillover effects test of the real estate market and the stock market. Then I analyze the dynamic fluctuations relationship between the two market rate of return through two yuan GARCH model. This conclusion is also in line with the operation of China’s Stock market and Realestate market. At the last of this article, we give some economic explanation and reason analysis, and offer some personal recommendations on the basis of the results of the empirical analysis. |
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