Study on Dynamic Relation between Share Price Index and Housing Price: Co-integration Analysis and Application in Share Price Index Prediction

摘要

According to international experiment, there is a dynamic relation between share price index and housing price. In this paper, aimming at the recent fact in china, a new cointegration analysis is used to reserch this relation and predict the share price index furtherly. Firstly, we adopted the H-P filter technique to decompose the fluctuant components from the series of share price index and housing price. Secondly, the stationary of the time series is verified, there is cointegration relation between share price index and housing price. The result of Granger causality test shows, the fluctuation of housing price has remarkable influence on share price index. At last, on the basis of analysis above, we construct the error correction model, and apply it to predict the share price index.