658
Views
10
CrossRef citations to date
0
Altmetric
Original Articles

Are Chinese stock and property markets integrated or segmented?

, &
Pages 345-370 | Received 16 Oct 2012, Accepted 13 Mar 2013, Published online: 14 May 2013

References

  • Ahuja, A., L. Cheung, G. Han, N. Porter, and W. Zhang 2010. “Are House Prices Rising Too Fast in China?.” IMF working paper, WP/10/274.
  • Ando, A., and F. Modigliani 1963. “The Life Cycle Hypothesis of Saving: Aggregate Implications and Tests.” American Economic Review 53 (1): 55–84.
  • Barsky, R. 1989. “Why Don't the Prices of Stocks and Bonds Move Together?.” American Economic Review 79 (5): 1132–1145.
  • Baur, D. 2010. “Stock-Bond Co-Movements and Cross-Country Linkages.” International Journal of Banking, Accounting and Finance 2 (2): 111–129. doi: 10.1504/IJBAAF.2010.032848
  • Bernanke, B.S., and M. Gertler 1995. “Inside the Black Box: The Credit Channel of Monetary Policy Transmission.” Journal of Economic Perspectives 9 (4): 27–48. doi: 10.1257/jep.9.4.27
  • Burdekin, R.C. K., and P.L. Siklos 2012. “Enter the Dragon: Interactions Between Chinese, US and Asia-Pacific Equity Markets, 1995–2010.” Pacific-Basin Finance Journal 20 (3): 521–541. doi: 10.1016/j.pacfin.2011.12.004
  • Chan, K.F., S. Treeponkaruna, R. Brooks, and S. Gray 2011. “Asset Market Linkages: Evidence from Financial, Commodity and Real Estate Assets.” Journal of Banking & Finance 35 (6): 1415–1426. doi: 10.1016/j.jbankfin.2010.10.022
  • Eichholtz, P., and D. Hartzell 1996. “Property Shares, Appraisals and the Stock Market: An International Perspective.” Journal of Real Estate Finance and Economics 12 (2): 163–178. doi: 10.1007/BF00132265
  • Fleming, J., C. Kirby, and B. Ostdiek 1998. “Information and Volatility Linkages in the Stock, Bond, and Money Markets.” Journal of Financial Economics 49 (1): 111–137. doi: 10.1016/S0304-405X(98)00019-1
  • Fung, H.G., W. Lee, and W.K. Leung 2000. “Segmentation of the A- and B-share Chinese Equity Markets.” Journal of Financial Research 23 (2): 179–195.
  • Gao, Y., and Y.K. Tse 2004. “Market Segmentation and Information Values of Earnings Announcements: Some Empirical Evidence from an Event Study on the Chinese Stock Market.” International Review of Economics and Finance 13 (4): 455–474. doi: 10.1016/j.iref.2003.11.010
  • Granger, J. 1969. “Investigating Causal Relationships by Econometric Models and Cross-Spectral Methods.” Econometrica 37 (3): 424–438. doi: 10.2307/1912791
  • Green, R.K. 2002. “Stock Prices and House Prices in California: New Evidence of a Wealth Effect?.” Regional Science and Urban Economics 32 (6): 775–783. doi: 10.1016/S0166-0462(01)00103-X
  • Gul, F.A., J. Kim, and A.A. Qiu 2010. “Ownership Concentration, Foreign Shareholding, Audit Quality, and Stock Price Synchronicity: Evidence from China.” Journal of Financial Economics 95 (3): 425–442. doi: 10.1016/j.jfineco.2009.11.005
  • Hamilton, J. 1994. Time Series Analysis, Princeton, NJ: Princeton University Press.
  • Hua, X., and L. Sun“The Influence of Fundamental Factors on Chinese Residential Real Estate Prices: A Unique Data Panel Study.” China Quarterly, in preparation.
  • Iacoviello, M. 2005. “House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle.” American Economic Review 95 (3): 739–764. doi: 10.1257/0002828054201477
  • Johansen, S. 1988. “Statistical Analysis of Cointegration Vectors.” Journal of Economic Dynamics and Control 12 (2): 231–254. doi: 10.1016/0165-1889(88)90041-3
  • Johansen, S. 1991. “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models.” Econometrica 59 (6): 1551–1580. doi: 10.2307/2938278
  • Jorion, P., and E. Schwartz 1986. “Integration vs. Segmentation in the Canadian Stock Market.” Journal of Finance 41 (3): 603–616. doi: 10.1111/j.1540-6261.1986.tb04521.x
  • Kapopoulos, P., and F. Siokis 2005. “Stock and Real Estate Prices in Greece: Wealth Versus ‘credit–price’ Effect.” Applied Economics Letters 12 (2): 125–128. doi: 10.1080/1350485042000307107
  • Kindleberger, C., R. Aliber, and R. Solow 2005. Manias, Panics and Crashes: A History of Financial Crises 5, Hoboken, NJ: John Wiley & Sons, Inc.39
  • Kiyotaki, N., and J. Moore 1997. “Credit cycles.” Journal of Political Economy 105 (2): 211–248. doi: 10.1086/262072
  • Lee, C.C., M.S. Chien, and T.C. Lin 2012. “Dynamic Modeling of Real Estate Investment Trusts and Stock Markets.” Economic Modelling 29 (2): 395–407. doi: 10.1016/j.econmod.2011.11.008
  • Liang, Q., and H. Cao 2007. “Property Prices and Bank Lending in China.” Journal of Asian Economics 18 (1): 63–75. doi: 10.1016/j.asieco.2006.12.013
  • Lin, T.C., and Z.H. Lin 2011. “Are Stock and Real Estate Markets Integrated? An Empirical Study of Six Asian Economies.” Pacific-Basin Finance Journal 19 (5): 571–585. doi: 10.1016/j.pacfin.2011.05.001
  • Liow, K.H., and H. Yang 2005. “Long-term Co-memories and Short-run Adjustment: Securitized Real Estate and Stock Markets.” The Journal of Real Estate Finance and Economics 31 (3): 283–300. doi: 10.1007/s11146-005-2790-6
  • Liu, C., D. Hartzell, W. Greig, and T. Grissom 1990. “The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence.” Journal of Real Estate Finance and Economics 3 (3): 261–282. doi: 10.1007/BF00216190
  • Lizieri, C., and S. Satchell 1997. “Interaction Between Property and Equity Markets: An Investigation of the Linkages in the United Kingdom 1972–1992.” Journal of Real Estate Finance and Economics 15 (1): 11–26. doi: 10.1023/A:1007745204491
  • Ma, X. 1996. “Capital Controls, Market Segmentation and Stock Prices: Evidence from the Chinese Stock Market.” Pacific-Basin Finance Journal 4 (2): 219–239. doi: 10.1016/0927-538X(96)00012-1
  • Markowitz, H. 1952. “Portfolio Selection.” Journal of Finance 7 (1): 77–91.
  • Morck, R., B. Yeung, and W. Yu 2000. “The Information Content of Stock Markets: Why do Emerging Markets Have Synchronous Stock Price Movements?.” Journal of Financial Economics 58 (1): 215–260. doi: 10.1016/S0304-405X(00)00071-4
  • Okunev, J., P. Wilson, and R. Zurbruegg 2000. “The Causal Relationship Between Real Estate and Stock Market.” Journal of Real Estate Finance and Economics 21 (3): 251–261. doi: 10.1023/A:1012051719424
  • Panchenko, V., and E. Wu 2009. “Time-Varying Market Integration and Stock and Bond Return Concordance in Emerging Markets.” Journal of Banking and Finance 33 (6): 1014–1021. doi: 10.1016/j.jbankfin.2008.10.016
  • Pesaran, M.H., and Y. Shin 1998. “Testing for a Unit Root in Time Series Regression.” Biometrika 75 (2): 335–346.
  • Phillips, P.C. B. 1995. “Fully Modified Least Squares and Vector Autoregression.” Econometrica 63 (5): 1023–1078. doi: 10.2307/2171721
  • Phillips, P.C. B., and B.E. Hansen 1990. “Statistical Inference in Instrumental Variables Regression with I(1) Processes.” Review of Economic Studies 57 (1): 99–125. doi: 10.2307/2297545
  • Quan, D.C. 1997. “Commercial Real Estate Prices and Stock Market Returns an International Analysis.” Financial Analysis Journal 53 (3): 21–34. doi: 10.2469/faj.v53.n3.2082
  • Quan, D., and S. Titman 1999. “Do Real Estate Prices and Stock Prices Move Together? An International Analysis.” Real Estate Economics 27 (2): 183–207. doi: 10.1111/1540-6229.00771
  • Sim, S.H., and B.K. Chang 2006. “Stock and Real Estate Markets in Korea: Wealth or Credit-price Effect.” Journal of Economic Research 11 (1): 99–122.
  • Stoer, J., and R. Bulirsch 2002. Introduction to Numerical Analysis. Springer Science and Business Media LCC, 93–106. New York: Springer.
  • Su, D. 1999. “Ownership Restrictions and Stock Prices: Evidence from Chinese Markets.” Financial Review 34 (2): 37–55. doi: 10.1111/j.1540-6288.1999.tb00453.x
  • Su, C. 2011. “Non-Linear Causality Between the Stock and Real Estate Markets of Western European Countries: Evidence from Rank Tests.” Economic Modelling 28 (3): 845–851. doi: 10.1016/j.econmod.2010.10.021
  • Worzala, E., and K. Vandell 1993. “International Direct Real Estate Investments as Alternative Portfolio Assets for Institutional Investors: An Evaluation.” Paper presented at the 1993 AREUEA meetings, Anaheim, CA.
  • Wu, J., J. Gyourko, and Y. Deng 2012. “Evaluating Conditions in Major Chinese Housing Markets.” Regional Science and Urban Economics 42 (2): 531–543. doi: 10.1016/j.regsciurbeco.2011.03.003
  • Wu, W., and T. Qi 2007. “Liquidity, Life Cycle and Portfolio Choice Heterogeneity.” Economic Research Journal 2 (3): 97–110.
  • Xu, X.E., and T. Chen 2012. “The Effect of Monetary Policy on Real Estate Price Growth in China.” Pacific-Basin Finance Journal 20 (1): 62–77. doi: 10.1016/j.pacfin.2011.08.001
  • Zhang, X.Y., and L.Zhao. Hua 2012. “Exploring Determinants of Housing Prices: A Case Study of Chinese Experience in 1999–2010.” Economic Modelling 29 (6): 2349–2361. doi: 10.1016/j.econmod.2012.06.025

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.