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Are Chinese stock and property markets integrated or segmented?

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  • Chris Adcock
  • Xiuping Hua
  • Yiping Huang

Abstract

This paper explores the empirical question of whether Chinese stock and property markets are integrated or segmented. We find that, at the national level, investment returns in property and the A-share markets were co-integrated in the long run. In the short run, property price Granger caused A-share prices, but not vice versa. However, the B-share prices were negatively correlated with property prices. Furthermore, the linkage between city-level property prices and stock prices showed significant variations across the country. These findings reveal that property and stock markets were integrated at the national level but the property markets were reasonably segmented among cities. They suggest that investment portfolios pursuing risk diversification should include both A and B shares and properties from different cities.

Suggested Citation

  • Chris Adcock & Xiuping Hua & Yiping Huang, 2016. "Are Chinese stock and property markets integrated or segmented?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(4-6), pages 345-370, April.
    • Handle: RePEc:taf:eurjfi:v:22:y:2016:i:4-6:p:345-370
    DOI: 10.1080/1351847X.2013.788537
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    Citations

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    Cited by:

    1. 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.
    2. Lin, Wen-Yuan & Tsai, I-Chun, 2019. "Trader differences in Shanghai’s A-share and B-share markets: Effects on interaction with the Shanghai housing market," Journal of Asian Economics, Elsevier, vol. 64(C), pages 1-1.
    3. Julio Pindado & Ignacio Requejo & Juan C. Rivera, 2020. "Does money supply shape corporate capital structure? International evidence from a panel data analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 26(6), pages 554-584, April.

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