Research on the Dynamics of Volatilities between Stock Market and Real Estate Market

摘要

The paper applies Granger causality test and impulse response function to investigate the volatility transmission relationship between the stock market and the real estate market during the periods from May, 2001 to December, 2006 and February, 2007 to September, 2008. The empirical results reveal that, during the first time span, stock and real estate markets are cointegrated with unidirectional granger causality from real estate to stock market. Both markets would response a reverse reaction to a shock of one SD on the other market. For the second period, there exist no granger relationship between these markets and each market would response an equidirectional response to the shock.