Nonlinear Dependence between Stock and Real Estate Markets in China

Terence Tai Leung Chong, Haoyuan Ding and Sung Y. Park

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Property return; Stock return; Causality; Quantile regression. (search for similar items in EconPapers)
JEL-codes: C22 O18 R31 (search for similar items in EconPapers)
Date: 2014-07
New Economics Papers: this item is included in nep-cna, nep-tra and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Related works:
Journal Article: Nonlinear dependence between stock and real estate markets in China (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:57774

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