Novel evidence on the asymmetric causality between the Chinese stock and real estate markets: evidence from city-level data

Shengliang Zhao and Jungil Park

Economic Research-Ekonomska Istraživanja, 2023, vol. 36, issue 1, 2179507

Abstract: Our study re-examines the asymmetric causality between the Chinese stock and real estate markets in 70 cities. Prior research using symmetry hypotheses, has not yet linked these two markets or paid attention to their heterogeneity. We uniquely employed the nonlinear autoregressive distributed lag model, which permits the exploration of bidirectional asymmetric causality. Decreases and increases in stock prices caused short-run changes to real estate prices in 18 of the cities studied; this short-run effect was ultimately carried on in Guangzhou and in three cities. Even after switching the study variables, similar results were obtained. Our findings show that real estate policymakers in specific cities need to take into consideration the asymmetric performance of real estate prices as caused by the asymmetry within stock prices. If government stabilises the real estate market, it can in turn facilitate stock-market stability.

Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/1331677X.2023.2179507 (text/html)
Access to full text is restricted to subscribers.

Related works:
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: https://EconPapers.repec.org/RePEc:taf:reroxx:v:36:y:2023:i:1:p:2179507

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rero20

DOI: 10.1080/1331677X.2023.2179507

Access Statistics for this article

Economic Research-Ekonomska Istraživanja is currently edited by Marinko Skare

More articles in Economic Research-Ekonomska Istraživanja from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().