As　the　important　investment　objects,　the　frequency　and　severity　of　fluctuation　in　the　real　estate　market　and　the　stock　market　shall　have　a　great　influence　on　the　entire　capital　market,　which　plays　an　vital　role　in　the　economic　development　and　livelihood　issues.　Therefore,　it　is　of　theoretical　and　practical　significance　to　study　the　correlation　of　price　fluctuation　between　the　two　markets.　This　study　selects　the　Shanghai　composite　index　in　the　stock　market　and　monthly　sale　of　commercial　residential　building　in　the　real　estate　market,　and　the　data　interval　is　from　2006　to　2015.　Then,　we　make　statistical　characteristics　analysis　and　stability　test　for　data　with　Eviews　software.　In　order　to　make　linkage　study　for　prices　in　the　real　estate　market　and　the　stock　market,　we　conduct　the　test　of　the　relevance　between　the　two　markets　by　Granger　causality　test　and　VAR　model.　At　last,　we　put　forward　relevant　suggestions　for　existing　risks　and　problems　in　the　development　process　of　Chinese　real　estate　market　and　stock　market.　©　ASCE.