Nonlinear dependence between stock and real estate markets in China

被引：40

作者：

Ding, Haoyuan ^{[1
]}

Chong, Terence Tai-Leung ^{[2
,3
,4
]}

Park, Sung Y. ^{[5
]}

机构：

[1] Shanghai Univ Finance & Econ, Sch Int Business Adm, Shanghai, Peoples R China

[2] Chinese Univ Hong Kong, Dept Econ, Hong Kong, Hong Kong, Peoples R China

[3] Chinese Univ Hong Kong, Inst Global Econ & Finance, Hong Kong, Hong Kong, Peoples R China

[4] Nanjing Univ, Dept Int Econ & Trade, Nanjing 210008, Jiangsu, Peoples R China

[5] Chung Ang Univ, Sch Econ, Seoul 156756, South Korea

来源：

ECONOMICS LETTERS | 2014年 / 124卷 / 03期

关键词：

Property return; Stock return; Causality; Quantile regression; REGRESSION; QUANTILES;

D O I：

10.1016/j.econlet.2014.05.035

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The causality between the real estate and stock markets of China remains a mystery in the literature. This paper investigates the non-linear causal relationship between real estate property and stock returns in China from the perspective of conditional quantiles. The results of the quantile causality test suggest a significant causal relationship between these two markets, especially in the tail quantile. (C) 2014 Published by Elsevier B.V.

引用

页码：526 / 529

页数：4

共 14 条

[1] Frothy Housing Markets and Local Stock-Price Movements [J].

Anderson, Christopher W. ;

Beracha, Eli .

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2012, 45 (02) :326-346

[2] TESTS FOR PARAMETER INSTABILITY AND STRUCTURAL-CHANGE WITH UNKNOWN CHANGE-POINT [J].

ANDREWS, DWK .

ECONOMETRICA, 1993, 61 (04) :821-856

[3]

Aye G., 2013, J. Hous. Res, V22, P203

[4]

심성훈, 2006, Journal of Economic Research (JER), V11, P99

[5] Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock [J].

Chang, Kuang-Liang ;

Chen, Nan-Kuang ;

Leung, Charles Ka Yui .

JOURNAL OF REAL ESTATE FINANCE AND ECONOMICS, 2011, 43 (1-2) :221-257

[6]

Chen N., 2001, Journal of Asian Economics, V12, P215

[7] Causality in quantiles and dynamic stock return-volume relations [J].

Chuang, Chia-Chang ;

Kuan, Chung-Ming ;

Lin, Hsin-Yi .

JOURNAL OF BANKING & FINANCE, 2009, 33 (07) :1351-1360

[8] CROSSING PROBABILITIES FOR A SQUARE ROOT BOUNDARY BY A BESSEL PROCESS [J].

DELONG, DM .

COMMUNICATIONS IN STATISTICS PART A-THEORY AND METHODS, 1981, 10 (21) :2197-2213

[9] House price-stock price relations in Thailand: an empirical analysis [J].

Ibrahim, Mansor H. .

INTERNATIONAL JOURNAL OF HOUSING MARKETS AND ANALYSIS, 2010, 3 (01) :69-82

[10] Stock and real estate prices in Greece: wealth versus 'credit-price' effect [J].

Kapopoulos, P ;

Siokis, F .

APPLIED ECONOMICS LETTERS, 2005, 12 (02) :125-128

← 1 2 →