Are the stock and real estate markets integrated in China?

Su, Chi‐Wei; Yin, Xiao-Cui; Chang, Hsu‐Ling; Zhou, Haigang

doi:10.1007/s11403-018-0215-x

Cited by 10 publications

(5 citation statements)

References 53 publications

(67 reference statements)

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“…Several studies have investigated the association between real estate and stock markets in the USA (Liow and Yang, 2005;Li et al, 2015;Hui and Chan, 2018;Zheng and Osmer, 2019), UK (Hui et al, 2011;Hui and Chan, 2013;Bouri et al, 2019), Germany (Gokmenoglu and Hesami, 2019); Greece (Gounopoulos et al, 2019), Australia (Lee et al, 2017), China (Zhang and Fung, 2006;Guo and Huang, 2010;Chan and Chang, 2014;Deng et al, 2017;Su et al, 2019), Taiwan (Chen, 2001;Liu and Chen, 2016) and Turkey (Yuksel, 2016;Bayraktar, 2019). However, to the best of our knowledge, no researcher has investigated the real estate and stock nexus in Pakistan.…”

Section: Integration Between Real Estate and Stock Markets 887mentioning

confidence: 99%

Integration between real estate and stock markets: new evidence from Pakistan

Yousaf

Ali

2020

IJHMA

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Purpose This study aims to empirically examine the relationship between real estate and stock market of Pakistan. Design/methodology/approach The data of two real estate indices (house price index and plot price index) are taken for the Pakistan and its four big cities, i.e. Lahore, Karachi, Rawalpindi and Islamabad. It estimates the integration between series by applying the Johansen cointegration test. Moreover, the vector error correction model is applied to examine the short and long-run causal relationships between series. Findings The findings show that the real estate markets are cointegrated with the stock market. They imply that the real estate and stock markets are good substitutes in investment allocation, but investors cannot get the benefit of diversification by making a portfolio of real estate and stock markets in Pakistan. Moreover, the long-run causality is observed from majority house markets to the stock market, whereas short-run causality is evident from majority plot markets to the stock market. Hence, the real estate market leads the stock market in the short run and long run, suggesting the credit-price effect in the majority of real estate markets in Pakistan. These causality results are helpful for investors in the forecasting of real estate and stock markets in Pakistan. Research limitations/implications The limitation of the study is the lower number of observations (107), because house and land prices are only available in monthly frequency from January 2011 in Pakistan. Originality/value To the best of the authors’ knowledge, no researcher has investigated the real estate and stock market nexus in Pakistan. Therefore, this study focuses on examining the relationship between the real estate and stock market of Pakistan. The link between real estate and stock markets will provide useful insights to the portfolio managers, real estate companies, property agents, stockbrokers and investors.

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Section: Integration Between Real Estate and Stock Markets 887mentioning

confidence: 99%

Integration between real estate and stock markets: new evidence from Pakistan

Yousaf

Ali

2020

IJHMA

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“…Xu and Wang (2010) explored the correlation between real estate markets and cyclical fluctuations in the stock markets. This is also discussed by Yao and Song (2010), Lin and Tsai (2019), and Su, Yin, Chang, and Zhou (2019). Their conclusions conflict.…”

Section: Literature Reviewmentioning

confidence: 62%

“…Their conclusions conflict. Some found that the stock markets influenced the real estate market (A. Li et al, 2014; Xu & Wang, 2010), while others found that the real estate market impacted the stock market (Lin & Tsai, 2019; Su et al, 2019). Other scholars discovered two‐way spillover effects between the two markets in China (Huang, 2014; Yao & Song, 2010).…”

Section: Literature Reviewmentioning

confidence: 99%

Research on external financial risk measurement of China real estate

2020

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This study applies the method proposed by Diebold and Yilmaz to construct a spillover effect index with which we compare the bilateral information spillover effect and time‐varying characteristics of China's real estate markets to those of representative international financial markets from July 2005 to March 2018 to measure the financial risks in China's real estate markets. The empirical results show the following. (a) There is a significant information spillover effect between China's real estate markets and related stock markets, and China's real estate is in a net information receiving position. (b) After 2016, China's real estate financial risks entered a downward adjustment cycle, and financial risks have gradually declined. These results suggest that Chinese real estate markets' “de‐inventory” has achieved remarkable results and that real estate financial risks have been significantly reduced. However, due to China's limited real estate financial investment channels, the nation's real estate markets should still be cautiously controlled and regulated to respond to potential real estate financial risk.

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“…Even though the methods of analysis were distinct, they both ended up with the same conclusion. In addition, Su et al [33] used a case study of China to reexamine this subject by including more factors in their analysis. In the long run, they discovered that changes in the price of real estate might have an effect on the price of shocks.…”

Section: Literature Reviewmentioning

confidence: 99%

Causality Tests and Their Applications to China’s Stock and Housing Markets

2022

Discrete Dynamics in Nature and Society

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The link between the stock market and the housing market is well known to be sensitive. At present, the possibility of a connection between them remains intriguing. Therefore, China works as a case study for the research inquiry into the causal relationship between the stock market and the housing market. Using the monthly data from January 2000 to January 2021 and employing the cross-correlation function approach to perform empirical analysis, the results indicate that the bidirectional causal relationship between the stock market and the housing market has been recognized as one of the most interesting findings, which constitutes a significant departure from previous research. Moreover, the other interesting result is that, from the housing market to the stock market, a causality-in-mean and a causality-in-variance are discovered. Only a tiny number of previous studies have addressed this achievement in the context of China. Meanwhile, this article’s findings have both theoretical and practical implications for China’s proposition.

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Are the stock and real estate markets integrated in China?

Cited by 10 publications

References 53 publications

Integration between real estate and stock markets: new evidence from Pakistan

Integration between real estate and stock markets: new evidence from Pakistan

Research on external financial risk measurement of China real estate

Causality Tests and Their Applications to China’s Stock and Housing Markets

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