Investment coordinates in the context of housing and stock markets nexus

ABSTRACT

This study examines the causal relationship between Chinese housing market (HM) and stock market (SM), using the bootstrap Granger full-sample causality test and subsample rolling-window estimation test. The results show that stock price (SP) has both positive and negative impacts on housing price (HP) in several sub-periods, and HP has the same effects on SP. The substitution effect drives their adverse consequences. Meanwhile, the positive effect indicates that SP has a wealth effect on HP, and HP has a credit-price effect on SP. Results provide information to Chinese financial institutions and individual investors for constructing investment portfolios within these asset markets.

KEYWORDS:

• Housing market
• stock market
• rolling window
• bootstrap
• time-varying causality

JEL CLASSIFICATION:

• G11
• E44

Disclosure statement

No potential conflict of interest was reported by the authors.

Additional information

Funding

This article is the staged achievement of the ‘Macro Financial Monitoring and Choices of Exchange Regimes’ and gained funding by National Science Foundation of China in 2013. Number: 13BJY167.