The spillover effect of real estate boom on stock market efficiency: evidence from China

被引：2

作者：

Yang, Ge ^{[1
]}

Yin, Ximing ^{[2
]}

Sun, Zeyu ^{[3
,6
]}

Bi, Peng ^{[4
]}

Ma, Qingqing ^{[5
]}

机构：

[1] Univ Int Business & Econ, Business Sch, Beijing, Peoples R China

[2] Hunan Univ, Coll Finance & Stat, Changsha, Peoples R China

[3] Capital Univ Econ & Business, Sch Accounting, Beijing, Peoples R China

[4] Jiamusi Univ, Sch Econ & Management, Jiamusi, Peoples R China

[5] Univ Int Business & Econ, Sch Int Trade & Econ, Beijing, Peoples R China

[6] Capital Univ Econ & Business, Sch Accounting, 121 Zhangjialukou, Beijing 100070, Peoples R China

来源：

APPLIED ECONOMICS | 2024年

基金：

中国国家自然科学基金;

关键词：

Real estate prices; stock market efficiency; financial assets investment; investor sentiment; G14; G30; R30; INVESTOR SENTIMENT; IMPLIED COST; HOUSING BOOM; INFORMATION; MEDIA; DISCLOSURE; DYNAMICS; ACCRUALS; ATTENTION; RETURNS;

D O I：

10.1080/00036846.2024.2336884

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We examine how the increase in real estate prices affects stock market efficiency. Using a sample of Chinese listed firms from 2010 to 2019, we find that high local real estate prices significantly exacerbate stock mispricing. Our findings remain robust after dealing with endogeneity concerns using an instrumental variable approach, an alternative sample choice, and alternative variable measurement. The positive effect of housing prices on stock mispricing is weaker for cross-listed firms and more pronounced for firms with more positive media coverage. Further analysis shows that the booming real estate market accelerates c orporate financial assets investment and inspires optimistic investor sentiment. Our results shed light on the negative spillover effect of the overheated real estate sector from the perspective of capital market efficiency.

引用

页数：16

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