Investigation of the Linkage among China’s Macroeconomy, Stock Market and Real Estate Market

Guo Jianhua and Long Huidian
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Guo Jianhua: School of Mathematics and Computing Science; Hunan University of Science and Technology; Xiangtan 411201; P.R.China
Long Huidian: School of Information; Guangdong Foreign Studies University; Guangzhou 510420; P.R.China

International Journal of Finance & Banking Studies, 2013, vol. 2, issue 2, 01-07

Abstract: As two important constituents of China’s macro economy, there are a variety of relationships among China’sstock market, real estate market and its macro economy. In order to investigate these relationships, in this paper, especially with the Macroeconomic Boom Index reflecting China’s macro economy, we use cointegration theory and Granger analysis to demonstrate that there are long-term equilibriumrelationship and bidirectionalcausalitybetween the macro economy and the securities business, also between the macro economy and the real estate market, however, this kind of long-termEquilibrium relationship and bidirectional causalityappears very weak.

Keywords: Macroeconomy; Stock Market; Real Estate Market; Linkage; Cointegration; Granger Causality Test (search for similar items in EconPapers)
Date: 2013
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