The Spillover Effect Of The Housing Market And Stock Market

The outbreak of the American subprime mortgage crisis triggered a global financial crisis,which brought serious harm to most of the global countries. Because of this event, many scholars start to focus on the study of volatility correlation among the financial markets,especially in the background of the accelerating global integration process, and financial markets are more and more mature and closely. The housing market and stock market as a major capital market in China, were almost experience revolution at the same time and started to develop. Since their establishment, they both have obtained a very big progress. But we still found that there is still exist many problems between the housing market and the stock market, such as fluctuations are frequent, volatility is bigger, the relative to foreign mature capital market is not healthy. Again due to the influence of the specific economic environment in our country, the development of the Residential market and the stock market in China and in the process of our development is influenced by internal and external factors of fluctuation all have their own characteristics, and two market volatility is not independent, but is related to a certain extent. Two attributes, especially consumer goods and housing investment and stock more rendering is a kind of pure investment, it is decided to the volatility of the correlation between the two markets is decided by both complementary effect and the substitution effect, and from the two market price trend of fluctuations in the us is not hard to find, at different times between the different economic environment presents different dynamic changes, changes in the dynamic, that is, the relationship between the two, to a certain extent, also reflects our country residents psychological change in consumption and investment and policy role in it. So the study of the correlation between stock market and Residential market in China for residents and the government are very important, which can effectively help residents set up the correct investment and consumption, but also provide certain reference for the government to make relevant policy.This paper is based on the study of related literature at home and abroad, the understanding of perspective and methods at home and abroad, and then through the analysis of the reality and theory, a preliminary understanding of the characteristics of the Residential market and the stock market in China as well as the mechanisms and channels of influence each other and put forward hypothesis, by trying to empirical validation. This article introduced the ARCH in the process of empirical model and VAR model to analyses the monthly data from 2000 to2014, the first by a yuan of the ARCH class models respectively to understand the Residential market and stock market fluctuations in their characteristics, and then through multiple of theARCH model and VAR model to study the volatility spillover effect between the two markets as well as a single market for another market volatility spillover. Specifically, this paper will be divided into five parts: the first part is to introduce the research background and practical significance, and the related research at home and abroad are analyzed and summarized; The second part of our country’s Residential market and stock market volatility characteristics and the interaction mechanism between the two are analyzed. The third part of the Residential market and the stock market in China is reality for an elaboration and analysis and put forward a preliminary hypothesis; The fourth part has carried on the empirical test is through the actual data, it is concluded that China’s Residential market and the stock market has positive relationship, and exists in the stock market of the Residential market volatility spillover effects in one direction; The fifth part is the empirical results are a summary and analysis of the reasons put forward relevant policy Suggestions.