Dynamic and frequency-domain spillover among economic policy uncertainty, stock and housing markets in China

Tongshui Xia, Chen-Xi Yao and Jiang-Bo Geng

International Review of Financial Analysis, 2020, vol. 67, issue C

Abstract: This study examines the dynamic characteristics of information spillover effect among economic policy uncertainty (EPU), stock and housing markets in China's first-, second- and third-tier cities. To measure return and volatility spillovers over time and across frequencies simultaneously, the researchers utilize the time-frequency connectedness network approach developed by Baruník and Křehlík (2018). The empirical findings suggest that return and volatility spillovers are stronger in the longer period (more than 3 months) than in the shorter period (1 to 3 months). In the short term, second and third-tier cities are net transmitters of information spillovers, while in the long term, first-tier cities, EPU, and stock markets are the net information transmitters. Furthermore, the long-term information from the EPU and stock market affect most of the real estate markets for different tier cities. Additionally, market segmentation reveals the city-specific characteristics of China's real estate market, especially the close connections between first-tier cities and the stock market. These results have important empirical implications for real estate policymakers and investors when they make related short or long-term decisions.

Keywords: Economic policy uncertainty; Stock market; China's housing market; Frequency domain; Information spillover (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (38)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:67:y:2020:i:c:s1057521919303126

DOI: 10.1016/j.irfa.2019.101427

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