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Analysis of Bond, Real Estate, and Stock Market Returns in China

Author

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  • Kam C. Chan
  • Chih-Hsiang Chang

Abstract

A broad analysis of the stock, bond, and real estate markets in China was conducted to investigate the policy effectiveness of using the lending rate to dampen China's real estate sector. Several important findings emerged: (1) as asset classes, the three markets do not exhibit similar patterns of volatility and return; (2) there are significant price transmission effects from the stock and real estate markets to the bond market and from the stock market to the real estate market; and (3) raising the lending rate is an effective tool to dampen the real estate market.

Suggested Citation

  • Kam C. Chan & Chih-Hsiang Chang, 2014. "Analysis of Bond, Real Estate, and Stock Market Returns in China," Chinese Economy, Taylor & Francis Journals, vol. 47(2), pages 27-40, March.
    • Handle: RePEc:mes:chinec:v:47:y:2014:i:2:p:27-40
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    Cited by:

    1. Yang-Chao Wang & Jui-Jung Tsai & Qiaoqiao Li, 2017. "Policy Impact on the Chinese Stock Market: From the 1994 Bailout Policies to the 2015 Shanghai-Hong Kong Stock Connect," IJFS, MDPI, vol. 5(1), pages 1-19, January.
    2. Umar, Zaghum & Yousaf, Imran & Aharon, David Y., 2021. "The relationship between yield curve components and equity sectorial indices: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    3. Imran Yousaf & Shoaib Ali, 2020. "Integration between real estate and stock markets: new evidence from Pakistan," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 13(5), pages 887-900, April.
    4. Chi-Wei Su & Xiao-Cui Yin & Hsu-Ling Chang & Hai-Gang Zhou, 2019. "Are the stock and real estate markets integrated in China?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 741-760, December.
    5. Korhan Gokmenoglu & Siamand Hesami, 2019. "Real estate prices and stock market in Germany: analysis based on hedonic price index," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 12(4), pages 687-707, April.

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