Interaction Between Real Estate Prices of Beijing and Stock Prices Based on VAR Model

Wei Li and Ling Jiang ()
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Wei Li: Hohai University
Ling Jiang: Hohai University

A chapter in Proceedings of 20th International Conference on Industrial Engineering and Engineering Management, 2013, pp 985-994 from Springer

Abstract: Abstract Real estate market and stock market have great influence on economy. Since 1998, China’s real estate market and stock market have made considerable progress. The stock market and real estate market have emerged dramatic fluctuations in recent years. Previous experience abroad shows that house-price bubbles closely relate to the drastic volatility of stock prices. Therefore, it is significant to research the relationship between real estate prices and stock prices. Based on VAR model, this paper investigates the interaction between real estate prices of Beijing and stock prices during 1999–2010. The result is that there is relevance between them. One’s variation arouses the other one’ oscillation and the impact is a phased process. However, the relationship between the two is unstable.

Keywords: Interaction; Real estate prices; Stock prices; VAR model (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-40063-6_97

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DOI: 10.1007/978-3-642-40063-6_97

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