Abstract：This paper aims at empirically investigating capital flow into the stock and real estate markets from the monetary and credit accounts in China. A Vector Autoregressive Model is built with variables of total loans, M2, industrial added value,, and CPI, based on economic theory. Empirical results from the model show that there were a large amount of capital flow into the stock and real estate markets in 2007 and 2009, in particular, the capital flow into the stock markets consecutively for several months in 2007 before the stock markets reached their peaks. The model is also applied in investigating that capital outflow from the stock and real estate markets, and find that the capital outflow from the stock markets consecutively for several months in 2005 before the stock markets reached their bottoms. Empirical results present better explanations for the economic phenomena in China in last several years. The model is employed in monitoring capital flow into or out of the stock markets. An investment strategy simulation is constructed based on the monitoring results. Back test shows that the investment strategy simulation can get abnormal return much more than the market return.
刁思聪;程棵;杨晓光. 我国信贷资金流入股票市场、房地产市场的实证估计[J]. 系统工程理论与实践, 2011, 31(4): 617-630.
DIAO Si-cong;CHENG Ke;YANG Xiao-guangdd. Empirical estimation for capital flow into stock and real estatemarkets from monetary and credit accounts. Systems Engineering - Theory & Practice, 2011, 31(4): 617-630.
2011, Vol. 31 
