Housing prices and investor sentiment dynamics: Evidence from China using a wavelet approach

Yun Hong and Yi Li

Finance Research Letters, 2020, vol. 35, issue C

Abstract: This paper investigates the multiscale relation between housing prices and investor sentiment in China by employing the wavelet method. We document significant positive correlations between the raw and decomposed series at all levels using the DCC-GARCH model. The wavelet Granger casual test and wavelet coherence analysis reveal long-term “interdependence” among long-term investors. In addition, for medium-term investors, housing is dominant and leads investor sentiment, while investor sentiment is dominant for short-term investors. Furthermore, the correlation between housing prices and investor sentiment is more pronounced in regions with higher levels of economic development.

Keywords: Housing prices; Investor sentiment; Wavelet method; DCC-GARCH model (search for similar items in EconPapers)
JEL-codes: C32 G12 R31 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319304908

DOI: 10.1016/j.frl.2019.09.015

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