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

香港中文大學研究人員

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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) 2014 Published by Elsevier B.V.
著者Ding HY, Chong TTL, Park SY
期刊名稱Economics Letters
出版年份2014
月份9
日期1
卷號124
期次3
出版社Elsevier
頁次526 - 529
國際標準期刊號0165-1765
電子國際標準期刊號1873-7374
語言英式英語
關鍵詞Causality; Property return; Quantile regression; Stock return
Web of Science 學科類別Business & Economics; Economics

上次更新時間 2020-30-11 於 00:41