Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2023.2179507
Novel evidence on the asymmetric causality between the Chinese stock and real estate markets: evidence from city-level data
Shengliang Zhao
Jungil Park
Sažetak
Our study re-examines the asymmetric causality between the
Chinese stock and real estate markets in 70 cities. Prior research
using symmetry hypotheses, has not yet linked these two markets
or paid attention to their heterogeneity. We uniquely employed
the nonlinear autoregressive distributed lag model, which permits
the exploration of bidirectional asymmetric causality. Decreases
and increases in stock prices caused short-run changes to real
estate prices in 18 of the cities studied; this short-run effect was
ultimately carried on in Guangzhou and in three cities. Even after
switching the study variables, similar results were obtained. Our
findings show that real estate policymakers in specific cities need
to take into consideration the asymmetric performance of real
estate prices as caused by the asymmetry within stock prices. If
government stabilises the real estate market, it can in turn facilitate
stock-market stability.
Ključne riječi
Asymmetric causality; real estate prices; stock prices; large and medium-sized cities
Hrčak ID:
306490
URI
Datum izdavanja:
31.3.2023.
Posjeta: 147 *