Nonlinear dependence between stock and real estate markets in China

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.

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Year of publication:	2014
Authors:	Ding, Haoyuan ; Chong, Terence Tai-leung ; Park, Sung Y.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 124.2014, 3, p. 526-529
Publisher:	Elsevier
Subject:	Property return \| Stock return \| Causality \| Quantile regression

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Type of publication:	Article
Classification:	C22 - Time-Series Models ; O18 - Regional, Urban, and Rural Analyses ; R31 - Housing Supply and Markets
Source:	RePEc - Research Papers in Economics

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