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.

本研究所用房价数据采集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长数据，并以2006年1月为基期，将该期房价指数设定为100，据此编制了房价指数。我们以上证综合指数（Shanghai Stock Exchange Index, SSEI）作为股市价格的代理变量，其数据来源于CSMAR数据库。随后，我们以月度房价指数与上证指数分别作为房价与股价的代理变量，按照预设公式计算月度房价收益率与股价收益率，所得序列即为收益率序列。最终共获取2006年1月至2019年3月期间的157组有效观测值。