House price and the stock market prices dynamics: evidence from China using a wavelet approach

ABSTRACT

This article utilizes the wavelet method to investigate the multiscale relationship between house price and stock price. We document short-term wealth effect, medium-term credit-price effect, and medium-/long-term spiral or ‘interdependence’ relationship between the house price and the stock price by using China’s data.

KEYWORDS:

• House price
• stock price
• wavelet method
• cross correlation

JEL CLASSIFICATION:

• C32
• G12
• R31

Acknowledgments

We thank the financial support from the China National Natural Science Foundation (CNNSF, grant no. 71602054), Hunan Province Natural Science Foundation of China (grant no. 2017JJ3043), all errors are ours.

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

¹ http://data.stats.gov.cn/.

Additional information

Funding

This work was supported by the National Natural Science Foundation of China [71602054];Natural Science Foundation of Hunan Province [2017JJ3043].