Nonlinear Dependence between Stock and Real Estate Markets in China

Chong, Terence Tai Leung and Ding, Haoyuan and Park, Sung Y (2014): Nonlinear Dependence between Stock and Real Estate Markets in China. Forthcoming in: Economics Letters

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Property return; Stock return; Causality; Quantile regression.
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; O - Economic Development, Innovation, Technological Change, and Growth > O1 - Economic Development > O18 - Urban, Rural, Regional, and Transportation Analysis ; Housing ; Infrastructure; R - Urban, Rural, Regional, Real Estate, and Transportation Economics > R3 - Real Estate Markets, Spatial Production Analysis, and Firm Location > R31 - Housing Supply and Markets

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