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As two important constituents of China’s macro economy, there are a variety of relationships among China’s stock market, real estate market and its macro economy. In order to investigate these relationships, in this paper, especially with the Macroeconomic Boom Index reflecting China’s macro economy, we use cointegration theory and Granger analysis to demonstrate that there are long-term equilibrium relationship and bidirectional causality between the macro economy and the securities business, also between the macro economy and the real estate market, however, this kind of long-term Equilibrium relationship and bidirectional causality appears very weak.