The relationship between the real estate and stock markets of china: Evidence from a nonlinear model

Applied Financial Economics

Volumn 20, Issue 22, 2010, Pages 1741-1749

  Liua, Yu Shao ^a,b   Sub, Chi Wei ^b,c  

^a FENG CHIA UNIVERSITY   (Taiwan)

^b XIAMEN UNIVERSITY   (China)

^c TAMKANG UNIVERSITY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS; EMPIRICAL ANALYSIS; FINANCIAL MARKET; NUMERICAL MODEL; PRICE DYNAMICS; PROPERTY MARKET; STOCK MARKET; THRESHOLD;

CHINA;

EID: 78649364824     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603107.2010.524616     Document Type: Article

References (21)

1. Ambrose, B., Ancel, E. and Griffiths, M. (1992) The fractal structure of real estate investment trust returns: the search for evidence of market segmentation and nonlinear dependency, Journal of the American Real Estate and Urban Economics Association, 20, 25-54.
2. Apergis, N. and Lambrinidis, L. (2007) More evidence on the relationship between the stock and the real estate market, Journal of Social Science Research Network, 17, 24-50.
3. Chan, K. S. (1993) Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model, The Annals of Statistics, 21, 520-533.
4. Edelstein, R. H. and Lum, S. K. (2004) House prices, wealth effects and the Singapore macroeconomy, Journal of Housing Economics, 13, 342-367.
5. Enders, W. and Granger, C. W. F. (1998) Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates, Journal of Business Economics and Statistics, 16, 304-311.
6. Enders, W. and Siklos, P. L. (2001) Cointegration and threshold adjustment, Journal of Business Economics and Statistics, 19, 166-176.
7. Engle, R. F. and Granger, C. W. J. (1987) Cointegration and error correction: representation, estimation, and testing, Econometrica, 55, 251-276.
8. Ewing, B. T., Forbes, S. M. and Payne, J. E. (2003) The effects of macroeconomics shocks on sector-specific returns, Applied Economics, 35, 201-207.
9. Fu, Y. and Ng, L. (1997) Fundamental news and price adjustment in the real estate and stocks markets: evidence from the Hong Kong market, Working Paper, Department of Economics and Finance, City University of Hong Kong.
10. Granger, C. W. J. and Terä svirta, T. (1993) Modeling Nonlinear Economic Relationships, Oxford University Press, Oxford.
11. Green, R. K. (2002) Stock prices and house prices in California: new evidence of a wealth effect?, Regional Science and Urban Economics, 32, 775-783.
12. Gyourko, J. and Keim, D. (1992) What does the stock market tell us about real estate returns?, Journal of the American Real Estate and Urban Economics Association, 20, 457-486.
13. Hsiao, C. (1979) Causality in econometrics, Journal of Economic Dynamics and Control, 4, 321-346.
14. Kakes, J. and van den End, J. W. (2004) Do stock prices affect house prices? Evidence for the Netherlands, Applied Economics Letters, 11, 741-744.
15. Kapopoulos, P. and Siokis, F. (2005) Stock and real estate prices in Greece: wealth versus 'credit-price' effect, Applied Economics Letters, 12, 125-128.
16. Ling, D. C. and Naranjo, A. (1999) The integration of commercial real estate markets and stock markets, Real Estate Economics, 27, 1-28.
17. Markowitz, H. (1952) Portfolio selection, Journal of Finance, 7, 77-91.
18. Menezes, R. and Dionísio, A. (2004) Asymmetric price transmission within the Portuguese stock market, Physica A, 344, 312-316.
19. Okunev, J. and Wilson, P. (1997) Using nonlinear tests to examine integration between real estate and stock markets, Real Estate Economics, 25, 487-503.
20. Okunev, J., Wilson, P. and Zurbruegg, R. (2000) The causal relationship between real estate and stock markets, The Journal of Real Estate Finance and Economics, 21, 251-261.
21. Quan, D. C. and Titman, S. (1999) Do real estate prices and stock prices move together? An international analysis, Real Estate Economics, 27, 183-207.