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Chinese stocks, bonds and real estate market yield correlation

Author: YangJianJian
Tutor: ChenChao
School: Fudan University
Course: Accounting
Keywords: Stock Bonds Real Estate Market Inflation Interest rate
CLC: F832.51;F293.3
Type: Master's thesis
Year: 2011
Downloads: 208
Quote: 0
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Abstract


China 's capital market has experienced twenty years of development , has gradually from the rapid development towards maturity , while the stock market and the bond market as an important part of the capital markets and their respective allocation of resources to play the role , and whether through two market to achieve the best allocation of portfolios for investors and financial markets have an important practical significance. Meanwhile, since 1998, China's housing market , the real estate market has also attracted a lot of capital investment . In this paper, the relationship between the three market research to explore China's stock market, bond market and real estate market return characteristics of mutual relations , analyzing the stock market, bond market and real estate market interaction mechanism for our residents' investment portfolio allocation and financial market reforms to provide empirical reference. Theoretical analysis article first start , according to APT arbitrage pricing theory model to analyze the impact of these three common factors in the market , the CPI rate of change ( measured by the level of inflation ) and the level of interest rates , as the impact of three common market yield factors were analyzed , thus deduced three market gains related to multi- factor model . The model and on the basis of theoretical analysis , this paper makes an empirical analysis to explore the following issues at two levels , namely , interest rates and inflation rates for stocks, bonds and real estate market gains related to how the relationship ? Second level then yes, stocks, bonds and real estate market this three correlation between the market and how ? specific empirical approach is from the unit root test and cointegration test start, the stability of the data were determined to analyze the long-term relationship . then using Granger causality test model to analyze whether there is a causal relationship between the three markets , namely fluctuations determine whether each of the two cities each fluctuate reasons, on this basis, but also through VAR VAR model for these three market gains analysis . This article attempts to give a new perspective of the relationship between the stock and bond markets means that for the relationship of the real estate and capital market portfolio and future reforms to give attention to important issues , which helps to further understand the macro-control effects of these three markets .

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CLC: > Economic > Economic planning and management > Urban and municipal economy > Urban Economics and Management > The real estate economy
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