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Applied Financial Economics Volume 20, 2010 - Issue 22
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Original Articles

The relationship between the real estate and stock markets of China: evidence from a nonlinear model

Yu-Shao Liu PhD Program in Finance, Feng Chia University, Taichung 40724, Taiwan, ROC; Department of Finance, Xiamen University, Xiamen, Fujian 361005, China
&
Chi-Wei Su Department of Finance, Xiamen University, Xiamen, Fujian 361005, China; Department of International Business, Tamkang University, Taipei 25137, Taiwan, ROCCorrespondence[email protected]
Pages 1741-1749 | Published online: 21 Oct 2010

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Shengliang Zhao & Jungil Park. (2023) Novel evidence on the asymmetric causality between the Chinese stock and real estate markets: evidence from city-level data. Economic Research-Ekonomska Istraživanja 36:1.
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I-Chun Tsai. (2018) Structural Changes in the Relationship between Foreign Direct Investments and China’s Housing Price Bubble. The Chinese Economy 51:6, pages 503-521.
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Ghulam Ali & Khalid Zaman. (2017) Do house prices influence stock prices? Empirical investigation from the panel of selected European Union countries. Economic Research-Ekonomska Istraživanja 30:1, pages 1840-1849.
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Huiming Zhu, Yawei Guo & Wanhai You. (2015) An empirical research of crude oil price changes and stock market in China: evidence from the structural breaks and quantile regression. Applied Economics 47:56, pages 6055-6074.
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Hooi Hooi Lean & Russell Smyth. (2014) Dynamic interaction between house prices and stock prices in Malaysia. International Journal of Strategic Property Management 18:2, pages 163-177.
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John Elder & Sriram Villupuram. (2012) Persistence in the return and volatility of home price indices. Applied Financial Economics 22:22, pages 1855-1868.
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MeiChi Huang. (2012) Forecasts and implications of the current housing crisis: switching regimes in a threshold framework. Applied Economics Letters 19:6, pages 557-568.
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Articles from other publishers (24)

Huthaifa Alqaralleh, Alessandra Canepa & Gazi Salah Uddin. (2023) Dynamic relations between housing Markets, stock Markets, and uncertainty in global Cities: A Time-Frequency approach. The North American Journal of Economics and Finance 68, pages 101950.
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Davoud Mahmoudinia & Seyed Mohammad Mostolizadeh. (2022) (A)symmetric interaction between house prices, stock market and exchange rates using linear and nonlinear approach: the case of Iran. International Journal of Housing Markets and Analysis 16:4, pages 648-671.
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Pedro Coelho, Luís Gomes & Patrícia Ramos. (2023) Asymmetric Wealth Effect between US Stock Markets and US Housing Market and European Stock Markets: Evidences from TAR and MTAR. Risks 11:7, pages 124.
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Maria I. Kyriakou, Athanasios Koulakiotis, Apostolos Kiohos & Vassilios Babalos. (2021) Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach. The Journal of Real Estate Finance and Economics 66:4, pages 939-962.
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Shizhen Wang, Chyi Lin Lee & Yan Song. (2022) The COVID-19 Sentiment and Office Markets: Evidence from China. Buildings 12:12, pages 2100.
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Yugang He. (2022) Causality Tests and Their Applications to China’s Stock and Housing Markets. Discrete Dynamics in Nature and Society 2022, pages 1-8.
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Sanmoy MUKHERJEE. (2022) Testing for Long-Run Relationships between European Housing and Stock Markets: Evidence of the Wealth, Credit-price and Capital-switching Regime Effects. Journal of Empirical Economics and Social Sciences.
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Mei-Se Chien & Nur Setyowati. (2020) The effects of uncertainty shocks on global housing markets. International Journal of Housing Markets and Analysis 14:1, pages 218-242.
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My-Linh Thi Nguyen & Toan Ngoc Bui. (2020) The Real Estate Market and Financial Stability. International Journal of Mathematical, Engineering and Management Sciences 5:6, pages 1270-1283.
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Letife Özdemir. 2020. Uncertainty and Challenges in Contemporary Economic Behaviour. Uncertainty and Challenges in Contemporary Economic Behaviour 145 158 .
Luis A. Gil-Alana, OlaOluwa S. Yaya, Omokolade Akinsomi & Yener Coskun. (2020) How do stocks in BRICS co-move with real estate stocks?. International Review of Economics & Finance 69, pages 93-101.
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MeiChi Huang. (2019) A threshold unobserved components model of housing bubbles: timings and effectiveness of monetary policies. Empirical Economics 59:2, pages 887-908.
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Chao Liu, Ying Zheng, Qi Zhao & Chao Wang. (2020) Financial stability and real estate price fluctuation in China. Physica A: Statistical Mechanics and its Applications 540, pages 122980.
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My-Linh Thi Nguyen & Toan Ngoc Bui. (2019) Stock market, real estate market, and economic growth: an ARDL approach. Investment Management and Financial Innovations 16:4, pages 290-302.
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Chi-Wei Su, Xiao-Cui Yin, Hsu-Ling Chang & Hai-Gang Zhou. (2018) Are the stock and real estate markets integrated in China?. Journal of Economic Interaction and Coordination 14:4, pages 741-760.
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Wen-Yuan Lin & I-Chun Tsai. (2019) Trader differences in Shanghai’s A-share and B-share markets: Effects on interaction with the Shanghai housing market. Journal of Asian Economics 64, pages 101128.
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MeiChi Huang. (2019) Risk diversification gains from metropolitan housing assets. Review of Financial Economics 37:4, pages 453-481.
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Mohsen Bahmani-Oskooee & Seyed Hesam Ghodsi. (2018) Asymmetric causality between the U.S. housing market and its stock market: Evidence from state level data. The Journal of Economic Asymmetries 18, pages e00095.
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MeiChi Huang. (2018) Time-varying diversification strategies: The roles of state-level housing assets in optimal portfolios. International Review of Economics & Finance 55, pages 145-172.
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Peter Öhman & Darush Yazdanfar. (2017) The nexus between stock market index and apartment and villa prices. International Journal of Housing Markets and Analysis 10:3, pages 450-467.
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Asli Yuksel. (2016) The relationship between stock and real estate prices in Turkey: Evidence around the global financial crisis. Central Bank Review 16:1, pages 33-40.
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Mato Njavro, Petra Posedel & Maruška Vizek. (2016) Regime Switching Behaviour of Real Estate and Equity Prices in Emerging Countries. Prague Economic Papers 25:4, pages 396-410.
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MeiChi Huang & Tzu-Chien Wang. (2015) Housing-bubble vulnerability and diversification opportunities during housing boom–bust cycles: evidence from decomposition of asset price returns. The Annals of Regional Science 54:2, pages 605-637.
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Luis A. Gil-Alana, OlaOluwa S. Yaya, Omokolade Akinsomi & Yener Coskun. (2019) How Do Stocks in BRICS Co-Move With REITs?. SSRN Electronic Journal.
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