Nonlinear dependence between stock and real estate markets in China
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AbstractThe 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.
All Author(s) ListDing HY, Chong TTL, Park SY
Journal nameEconomics Letters
Year2014
Month9
Day1
Volume Number124
Issue Number3
PublisherElsevier
Pages526 - 529
ISSN0165-1765
eISSN1873-7374
LanguagesEnglish-United Kingdom
KeywordsCausality; Property return; Quantile regression; Stock return
Web of Science Subject CategoriesBusiness & Economics; Economics

Last updated on 2020-29-09 at 00:33