Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/263423 
Year of Publication: 
2022
Series/Report no.: 
IZA Discussion Papers No. 15207
Publisher: 
Institute of Labor Economics (IZA), Bonn
Abstract: 
In China, real estate and the stock market are the two main markets favored by both individual and institutional investors. There is a significant economic link between the two. Therefore, their relationship and long-term and short-term causality can provide good guidance for investors. This paper studies the causality and correlation relationship between the stock market and real estate sector's trading volumes in 31 provinces of China. Its empirical results are based on panel data from 2000 to 2016. Various panel unit root, co-integration, and model specification and estimation tests are carried out. The panel mean group is found to be the most suitable method for the analysis. The study finds that the main industries in different provinces may affect the short-term causal relationship between the real estate sector and the stock market. But in the long-run, the causal relationship between the two is 2-way and stable.
Subjects: 
real estate
stock market
causal relationship
asset allocation
portfolio
economic area
Chinese provinces
JEL: 
E22
H54
O16
O18
R53
Document Type: 
Working Paper

Files in This Item:
File
Size
592.4 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.