Each individual is both a consumer and an investor in the market. It is the common goal of every investor to achieve a high return on investment through the portfolio of profit maximization. As a result, the ratio of assets in a portfolio has become a hot topic. In China, real estate and the stock market are two main markets favoured by both individual and institutional investors. And there is a significant economic link between the two markets. Therefore, their mutual relationship and long-term and short-term causality can provide good guidance for investors. This paper studies the causality and correlation between stock trading volume and real estate trading volume in 31 provinces of mainland China. The empirical results in this paper is based on a panel data from 2000 to 2016 and divides 31 provinces into three different economic regions. The panel unit root test and the Pedroni co-integration test were carried out. The Hausman test was used to select among different estimation methods. Panel Mean Group is found the most suitable analysis method. It is found that the main industries in different provinces may affect the short-term causal relationship between real estate and the stock market. But in the long run, the causal relationship between real estate and the stock market is two-way and stable.