| With the rapid development of China’s economy,the disposable income of residents continues to increase,people are beginning to seek more asset preservation and value-added channels,and investment demand continues to increase.The real estate market and the stock market have become the main investment channels for Chinese residents by virtue of their unique investment advantages.Due to its low barrier to entry and strong liquidity,the stock market has won the favor of many investors.The long-term rise in housing prices in China has also prompted more and more people to choose real estate as their investment target.How can investors optimize asset allocation,pursue higher returns under reasonable risk levels,and how policy makers can more scientifically regulate the two cities.These problems can be solved to some extent by studying the relationship between the two cities..In recent years,research on the correlation between stock market and real estate market has emerged in an endless stream,but there are relatively few studies on the dynamic correlation between the two cities.This paper takes the dynamic correlation research of the two cities as the research object,which has certain theoretical and practical significance.Firstly,on the basis of collating and summarizing domestic and foreign research literatures,this paper introduces the correlation between real estate prices and stock prices and the dynamic correlation between the two cities,and determines the research focus and ideas.Secondly,the research design of the dynamic correlation between real estate price and stock price is proposed.This paper describes the selection and source of data,descriptive statistics on the data,and introduces the design of the DCC model.Third,an empirical study of the dynamic correlation between real estate prices and stock prices.Firstly,a single-variable GARCH model is constructed to fit each sequence.Then the DCC-GARCH model is constructed by residual sequence to analyze the dynamic correlation coefficient between real estate price and stock price.The influencing factors of the correlation coefficient are studied.Finally,this paper proposes policy recommendations to promote the healthy development of the real estate market and the stock market,and to reduce the investment risks of investors.Through the use of DCC-GARCH model to empirically analyze the return rate of the stock market and the return rate of the real estate market,the paper draws the following conclusions: Generally speaking,the volatility of both markets has strong persistence and may result in The additive effect of risk.At the same time,the relationship between the two cities has a phased nature.From 2005 to 2013,the stock market and the real estate market were mainly positive correlations,while in 2014-2017,they were mainly negative correlations.In 2018,the correlation coefficient rebounded.In the analysis of the influencing factors of the correlation between the two cities,the study found that the increase of money supply in macroeconomic factors can significantly increase the correlation coefficient between the two cities.The new economic normal variables have a strong inhibitory effect on the correlation between the two,domestic production.The total value has a weak effect on the correlation.Among the market factors,real estate industry policies and interest rate levels have a significant effect on the correlation between the two cities,and the performance of the stock market has not significantly affected the correlation coefficient.The impact of the financial crisis has a certain inhibitory effect on the correlation between the two cities,and the exchange rate level is positively correlated with the correlation between the two cities.According to the research conclusions,this paper proposes three policy recommendations.The first is to build a long-term mechanism for the real estate market;the second is to broaden investment channels and establish an innovative asset market;and the third is to further improve the various systems of the stock market. |
