传统“有效市场假说”认为一切有价值的信息都已经快速有效地反映在价格走势中，随机游走的价格是不可预测的。但是近年来的诸多研究均发现记忆性存在于多数金融时间序列之中，这对传统“有效市场假说”造成了巨大的冲击。关联性在不同阶段下的不对称性特征也是建立在“有效市场假说”不完全成立的基础之上。而且雨后春笋般涌现的行为金融学也认为市场并非完全“有效”的主体的行为和心理对价格的走势具有非常重要的影响。因此，研究股市和房市的记忆性可以为进一步探究两市之间的阶段关联性打下一定的基础，记忆性和关联性二者相辅相成，单独研究其中一种特征难免显得浅尝辄止。 在全球一体化进程不断加快的时代背景下，全球金融市场的联系越来越紧密，因此许多学者开始研究金融市场间的动态相关性，尤其是股市与房市之间的记忆性及关联性问题研究更能激起学者的兴趣。在“有效市场假说”基础上，股市与房市的记忆性及关联性在“牛市”和“熊市”阶段应该是相同的。然而，中国的实际情况确实如此吗？为了回答这个问题，本文首先基于艾略特波浪理论将2000年2月-2017年12月的中国股市划分为“牛市”和“熊市”两种不同阶段，即2000年2月-2005年5月和2007年10月-2013年6月均为股市的下跌部分，定为“熊市”阶段；2005年6月-2007年10月和2013年7月-2017年12月均为股市的上涨部分，定为“牛市”阶段。然后运用ARFIMA-HYGARCH模型检验中国股市和房市在这四个时间段的记忆性，在此基础上，采用VAR模型、脉冲响应函数和Granger因果关系检验研究不同阶段下股市与房市之间的价格联动效应，进一步地运用DCC-HYGARCH模型研究了不同阶段下两个市场间的波动溢出效应。从而得出阶段记忆性及关联性的相关结论。 实证结果表明，股市与房市的波动率序列在“牛市”和“熊市”阶段都呈现出显著的长记忆性，但其收益率序列在“牛市”阶段表现出短记忆性，却在“熊市”阶段表现出长记忆性；“牛市”阶段股市与房市的价格收益率序列不存在显著的联动效应，而在“熊市”阶段存在股市对房市的单向价格联动效应；“牛市”阶段两个市场表现出明显的正向相关关系，即股价的波动率增加，房价的波动也会增加，反之则减少；“熊市”阶段表现出反向的动态相关关系，即股价的波动增加，房价的波动却会减少。以上结果均表明投资者在“熊市”阶段通常会利用组合投资来分散风险和强化投资，他们在此阶段往往考虑得更为长远和谨慎。中国股市与房市的记忆性及阶段关联性问题的研究结果均呈现出投资者一种“牛市冒进，熊市求稳”的现象。对此，本文又将从资产组合理论和行为金融学理论等角度从投资者的心理、行为和预期等方面对上述这种不对称现象进行解释。从而为改善投资者心理和行为决策，分散投资风险，完善信息披露机制等提供有利参考。对这种阶段性不平衡性的揭示也有助于政策制定者选择在合适的时机推行合理化的政策，保证股市和房市合理化的发展。

The traditional “Efficient Markets Hypothesis” believes that all valuable information has been quickly and effectively reflected in the price trend, and the price of random walks is unpredictable. However, many studies in recent years have found that memory exists in most financial time series, which has a huge impact on the traditional “Efficient Markets Hypothesis”. The asymmetry of relevance at different stages is also based on the fact that the “Efficient Markets Hypothesis” is not fully established. And the behavioral finance that has sprung up in the showers also believes that the behavior and psychology of the market is not completely "efficient" has a very important impact on the price trend. Therefore, studying the memory of the stock market and the housing market can lay a certain foundation for further exploring the stage correlation between the two cities. Memory and relevance complement each other. It is inevitable that one of the characteristics will be studied alone. In the era of accelerating global integration, the global financial market is becoming more and more connected. Therefore, many scholars have begun to study the dynamic correlation between financial markets, especially the memory and relevance between the stock market and the housing market. It can arouse the interest of scholars. On the basis of the “Efficient Market Hypothesis”, the memory and relevance of the stock market and the housing market should be the same in the “bull market” and “bear market” stages. However, is the actual situation in China really the case? In order to answer this question, this paper firstly divides the Chinese stock market from February 2000 to December 2017 into two different stages of “bull market” and “bear market” based on Elliott wave theory, namely February 2000-May 2005. And from July 2007 to June 2013, both were the stock market declines, which were designated as “bear market” stages; June 2005-2007 October and July 2013-December 2017 were all rising stock markets. It is designated as the “bull market” stage. Then use ARFIMA-HYGARCH model to test the memory of Chinese stock market and the housing market in these four time periods. On this basis, use VAR model, impulse response function and Granger causality test to study the price linkage between stock market and housing market at different stages. Further use the DCC-HYGARCH model to study the volatility spillover effects between the two markets at different stages. The conclusions about the stage memory and relevance are obtained. The empirical results show that the volatility sequence of the stock market and the housing market show significant long memory in the “bull market” and “bear market” stages, but the yield series shows short memory in the “bull market” stage, but in the “bear market”. The stage shows long memory; there is no significant linkage effect between the stock market and the housing price return rate series in the “bull market” stage, and there is a one-way price linkage effect of the stock market on the housing market in the “bear market” stage; two markets in the “bear market” stage There is a clear positive correlation, that is, the volatility of the stock price increases, the fluctuation of the house price will increase, and vice versa; the “bull market” stage shows a reverse dynamic correlation, that is, the fluctuation of the stock price increases, and the fluctuation of the house price Will decrease. All of the above results indicate that investors often use portfolio investment to spread risk and strengthen investment in the “bear market” stage, and they tend to consider longer and more cautious at this stage. The research results of the memory and stage correlation between Chinese stock market and the housing market all show investors a phenomenon of “bullish market bullish, bear market seeking stability”. In this regard, this paper will explain the above-mentioned asymmetry from the aspects of portfolio theory and behavioral finance theory from the perspectives of investors psychology, behavior and expectations. Therefore, it provides a favorable reference for improving investors psychological and behavioral decisions, diversifying investment risks, and improving information disclosure mechanisms. The revelation of this staged imbalance also helps policy makers choose to implement rationalized policies at the right time to ensure the rationalization of the stock market and the housing market.