Economics at your fingertips  

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 (19) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Nonlinear Dependence between Stock and Real Estate Markets in China (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.econlet.2014.05.035

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Haili He ().

Page updated 2021-01-17
Handle: RePEc:eee:ecolet:v:124:y:2014:i:3:p:526-529