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With the reform of housing system, the development of China’s real estate industry is fleeting. In 2008, in aim to release the shock of the financial crisis, the government issued a series of relevant policies to stimulate consuming and domestic demand. With the implement of these policies, the housing pricing also rised abnormally, especially in the second half of 2009, the price experienced a "crazy time", the speculative feature is extremely obvious in the market, the "excessive profit" and "foam" have become the focus in the society. As the "barometer" for the performance of market, in the stock market, whether the speculation and risk exist in the real estate board also becomes a hot issue.This paperconstructs on the theory of CAPM, the transaction data is selected from 30 stocks in real estate board, and the period of samples is from Aug.2001to Apr.2010, the single index model, BJS method and Fama-MacBeth regressing model are adopted. Firstly, the former two models are used for analyzing the time series data, it is indicatedthat:comparing with the housing market, there is less speculation in stock market. At the same time, it can conclude that because of theincomplete marketization, the explanation of the regressing modelis not as perfect as expectation.The same conclusion can be seen when FM model is used. In the last session of this paper, after proving the deviation between the housing market and stock market, the validity of EMH is tested. The evidencecan prove that the EMH is ineffective in China’s market. The reason maybe the vital and different roles which the governing policies play in the two markets.BJS method and Fama-MacBeth regressing model are used creatively to analyze the risk of real estate board in this paper, also combining the empirical research and real economy to test the validity of EMH is another innovation. It is hoped that this paper can inspire investors in the stock market and following researcher on the similar issues.
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