Nonlinear dependence between stock and real estate markets in China
Haoyuan Ding (),
Terence Tai Leung Chong () and
Sung Y. Park ()
Economics Letters, 2014, vol. 124, issue 3, 526-529
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)
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Working Paper: Nonlinear Dependence between Stock and Real Estate Markets in China (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:124:y:2014:i:3:p:526-529
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