Nonlinear dependence between stock and real estate markets in China
Publication in refereed journal


香港中文大学研究人员 ( 现职)

朴盛庸教授 (经济学系)

庄太量教授 (经济学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.econlet.2014.05.035

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/2WOS source URL

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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) http://aims.cuhk.edu.hk/converis/portal/Publication/2014 Published by Elsevier B.V.

着者Ding HY, Chong TTL, Park SY
期刊名称Economics Letters
出版年份http://aims.cuhk.edu.hk/converis/portal/Publication/2014
月份9
日期1
卷号1http://aims.cuhk.edu.hk/converis/portal/Publication/24
期次3
出版社Elsevier
页次5http://aims.cuhk.edu.hk/converis/portal/Publication/26 - 5http://aims.cuhk.edu.hk/converis/portal/Publication/29
国际标準期刊号0165-1765
电子国际标準期刊号1873-7374
语言英式英语

关键词Causality; Property return; Quantile regression; Stock return
Web of Science 学科类别Business & Economics; Economics