Analysis of Bond, Real Estate, and Stock Market Returns in China

Kam C. Chan and Chih-Hsiang Chang

Chinese Economy, 2014, vol. 47, issue 2, 27-40

Abstract: A broad analysis of the stock, bond, and real estate markets in China was conducted to investigate the policy effectiveness of using the lending rate to dampen China's real estate sector. Several important findings emerged: (1) as asset classes, the three markets do not exhibit similar patterns of volatility and return; (2) there are significant price transmission effects from the stock and real estate markets to the bond market and from the stock market to the real estate market; and (3) raising the lending rate is an effective tool to dampen the real estate market.

Date: 2014
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