Drawing on relevant research results, the paper constructs a comprehensive analysis model about time window. Using 205 land sales' samples in 20 cities of real estate listed companies in China, this paper makes a quantitative investigation on the impact of land market price signals on stock market based on the model of eight event windows with forward direction and backward direction. The empirical results show that the land market and the stock market are two highly related markets, and there is a signal transmission effect between the two markets's, which has a positive knock on effect in the short run, land price signals can affect stock returns in the short term after land grant, and form a short-term knock-on effect on stock prices. The influence of the land grant price signal on the stock market is asymmetric in time, land price signals have an influence on stock returns mainly after the land transaction, and the stock market has no obvious response to the previous information of land auction. The price signals found in the land market are the source of the price fluctuation in the relevant market, and changing the expectations of the bidders is the key to market stability.