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

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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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

DOI: 10.1016/j.econlet.2014.05.035

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