Nonlinear dependence between stock and real estate markets in China

초록

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.

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