House Prices and Stock Prices: Evidence from a Dynamic Heterogeneous Panel in China

Nannan Yuan (), Shigeyuki Hamori and Wang Chen ()
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Nannan Yuan: Graduate School of Economics, Kobe University
Wang Chen: Graduate School of Economics, Kobe University

No 1428, Discussion Papers from Graduate School of Economics, Kobe University

Abstract: Several studies have focused on the relationship between stock and house prices, but they reached contradictory conclusions. This paper contributes to the literature by analyzing the effects of stock prices on house prices with panel data of 28 regions in China for the 2003:Q1 to 2012:Q4 period. Compared with the previous studies, we explain these contrasting effects by distinguishing between the long- and short-run effects of stock prices. Our main results show that stock prices have a negative effect on house prices in the long run but positive effects in the short run. Furthermore, we determine that high market openness and low composition risk account for the opposite short-run effects of stock prices.

Keywords: house prices; stock prices; dynamic relationship (search for similar items in EconPapers)
JEL-codes: E31 E44 G32 (search for similar items in EconPapers)
Pages: 21pages
Date: 2014-10
New Economics Papers: this item is included in nep-cna, nep-mac, nep-tra and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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