Causality between Real Estate Market and Stock Market: Evidence from REIT Index in Taiwan

被引：0

作者：

Wang, Yih-Chang ^{[1
]}

Huang, Ran ^{[1
]}

Nieh, Chien-Chung ^{[2
]}

Ou, Hong-Kou ^{[2
]}

机构：

[1] Natl Taiwan Ocean Univ, Dept Harbor & River Engn, Keelung, Taiwan

[2] Tamkang Univ, Dept Banking & Finance, New Taipei, Taiwan

来源：

PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON MANUFACTURING ENGINEERING AND INTELLIGENT MATERIALS (ICMEIM 2017) | 2017年 / 100卷

关键词：

Real estate; REIT; Stock index; Causality; Mackey-Glass; UNIT-ROOT; TIME-SERIES; RETURNS; INTEGRATION; ADJUSTMENT; SELECTION;

D O I：

暂无

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

This paper investigates short-run dynamic interactions between real estate investment trust (REIT) index and stock market index in Taiwan over the 2006-2015 periods. In addition to traditional linear analysis, the recently developed models are applied to explore the possible short-run non-linear linkage between the two indexes. The results of linear Granger causality tests show weak evidence of linear causality from REIT index to stock index. Further analysis from non-linearGranger causality test sreveals no causality between the two indexes. These findings have important implication for investors.

引用

页码：574 / 581

页数：8

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