Analysis of Return and Volatility Spillover Effect of the Real Estate Stock Markets between Hong Kong, Shenzhen and Shanghai: To Financial Crisis as a View

The trend of economic globalization and the continuous deepening of financial liberalization, analyzed the return and volatility spillover between real estate market is of important theoretical and practical significance. Using samples of Hong Kong, Shenzhen and Shanghai real estate stock market during August 1, 2007 to December 31, 2009, I build a tri-variate VAR-GARCH-BEKK model to test change of return and volatility spillovers between real estate stock market. And the empirical conclusion is: there is uni-directional return spillover and bi-directional volatility spillover before financial crisis. After financial crisis, there is significant bi-directional return and volatility spillover. Comparison based on fore-and-aft financial crisis, there is significant return and volatility spillover between real estate stock market and such spillovers is increasing.