Investment coordinates in the context of housing and stock markets nexus

被引：3

作者：

Li, Jing-Ping ^{[1
]}

Fan, Jiao-Jiao ^{[2
]}

Su, Chi-Wei ^{[3
]}

Lobont, Oana-Ramona ^{[4
]}

机构：

[1] Shanxi Univ Finance & Econ, Fac Finance & Banking, Taiyuan, Peoples R China

[2] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, 1954 Huashan Rd, Shanghai, Peoples R China

[3] Ocean Univ China, Dept Finance, Qingdao, Peoples R China

[4] West Univ Timisoara, Dept Finance, Timisoara, Romania

来源：

APPLIED ECONOMICS LETTERS | 2017年 / 24卷 / 20期

基金：

美国国家科学基金会;

关键词：

Housing market; stock market; rolling window; bootstrap; time-varying causality; PARAMETER INSTABILITY; STRUCTURAL-CHANGE; TESTS; CAUSALITY; PRICES; CONSUMPTION; MODELS; POWER; TIME;

D O I：

10.1080/13504851.2017.1284978

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study examines the causal relationship between Chinese housing market (HM) and stock market (SM), using the bootstrap Granger full-sample causality test and subsample rolling-window estimation test. The results show that stock price (SP) has both positive and negative impacts on housing price (HP) in several sub-periods, and HP has the same effects on SP. The substitution effect drives their adverse consequences. Meanwhile, the positive effect indicates that SP has a wealth effect on HP, and HP has a credit-price effect on SP. Results provide information to Chinese financial institutions and individual investors for constructing investment portfolios within these asset markets.

引用

页码：1455 / 1463

页数：9

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