House Price and the Stock Market Prices

The house price data are collected from the official website of China's National Bureau of Statistics . We acquired the month-on-month growth data of house prices since January 2006, then compiled the house price index based on January 2006 as 100. The Shanghai Stock Exchange Index (SSEI) data which are treated as stock market prices are derived from the CSMAR database. After that, we calculate the monthly house price and stock price return as , where are proxied by the monthly house price index and SSEI, and represent the returns series. 157 observations from January 2006 to March 2019 are obtained.

本研究使用的房价数据取自中国国家统计局官方网站。我们获取了2006年1月以来的房价环比增速数据，并以2006年1月为基期（基期指数设定为100）编制了房价指数。以股市价格为代理变量的上证指数（Shanghai Stock Exchange Index, SSEI）数据来源于CSMAR数据库。随后，我们以月度房价指数与SSEI作为代理变量，计算得到月度房价收益率与股价收益率，二者构成收益率序列。最终共获取2006年1月至2019年3月期间的157组有效观测样本。