Abstract: In terms of real estate return,the paper develops a model of the linkage between real estate spatial and capital markets.The theoretical model indicates that the present stock price is positively correlated to the present real estate price and is negatively correlated to the real estate price in next period.By analyzing the rich data of 61 real estate listed companies at Shanghai and Shenzhen stock markets from 1996 through 2007,we employ system GMM estimator to test the linkage of real estate markets.The results show a strong linkage between real estate spatial and capital markets.But the linkage is asymmetric.The impact of real estate price on stock price is greater than that of stock price on real estate price.Second,the rental price has no significant influence on real estate price and stock price.Finally,the movement of real estate price is serial correlated;while the movement of stock price is random walk.

Key words: real estate spatial market, real estate capital market, linkage

摘要： 本文从投资回报角度构建了一个房地产空间市场与房地产资本市场关联度的理论模型。该理论模型显示,本期股价与本期房价呈正相关关系,与下期房价呈负相关关系。本文采用系统GMM估计法对深沪两市61家房地产上市公司1996—2007年度的数据进行实证分析,结果发现,房市与股市具有很强关联度,但房市对股市影响大于股市对房市影响。其次,租金变动对房价和股价变动无显著影响。最后,房价波动具有明显序列相关性,而股价波动具有随机游走特征。

关键词: 房地产空间市场, 房地产资本市场, 关联度