Nonlinear dependence between stock and real estate markets in China

被引：38
|
作者：
Ding, Haoyuan [1 ]
Chong, Terence Tai-Leung [2 ,3 ,4 ]
Park, Sung Y. [5 ]
机构：
[1] Shanghai Univ Finance & Econ, Sch Int Business Adm, Shanghai, Peoples R China
[2] Chinese Univ Hong Kong, Dept Econ, Hong Kong, Hong Kong, Peoples R China
[3] Chinese Univ Hong Kong, Inst Global Econ & Finance, Hong Kong, Hong Kong, Peoples R China
[4] Nanjing Univ, Dept Int Econ & Trade, Nanjing 210008, Jiangsu, Peoples R China
[5] Chung Ang Univ, Sch Econ, Seoul 156756, South Korea
来源：
ECONOMICS LETTERS | 2014年 / 124卷 / 03期
关键词：
Property return; Stock return; Causality; Quantile regression; REGRESSION; QUANTILES;
D O I：
10.1016/j.econlet.2014.05.035
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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. (C) 2014 Published by Elsevier B.V.
引用
收藏
页码：526 / 529
页数：4
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