Nonlinear dependence between stock and real estate markets in China | |
Ding, Haoyuan1; Chong, Terence Tai-Leung2,3,4; Park, Sung Y.5 | |
刊名 | ECONOMICS LETTERS
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2014-09 | |
卷号 | 124期号:3页码:526-529 |
关键词 | Property return Stock return Causality Quantile regression |
ISSN号 | 0165-1765 |
DOI | 10.1016/j.econlet.2014.05.035 |
英文摘要 | 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. |
WOS研究方向 | Business & Economics |
语种 | 英语 |
出版者 | ELSEVIER SCIENCE SA |
WOS记录号 | WOS:000343022000051 |
内容类型 | 期刊论文 |
源URL | [http://10.2.47.112/handle/2XS4QKH4/1701] ![]() |
专题 | 上海财经大学 |
通讯作者 | Chong, Terence Tai-Leung |
作者单位 | 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 |
推荐引用方式 GB/T 7714 | Ding, Haoyuan,Chong, Terence Tai-Leung,Park, Sung Y.. Nonlinear dependence between stock and real estate markets in China[J]. ECONOMICS LETTERS,2014,124(3):526-529. |
APA | Ding, Haoyuan,Chong, Terence Tai-Leung,&Park, Sung Y..(2014).Nonlinear dependence between stock and real estate markets in China.ECONOMICS LETTERS,124(3),526-529. |
MLA | Ding, Haoyuan,et al."Nonlinear dependence between stock and real estate markets in China".ECONOMICS LETTERS 124.3(2014):526-529. |
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