DEPENDENCE OF REAL ESTATE AND EQUITY MARKETS IN CHINA WITH THE APPLICATION OF COPULA
Journal Title: Asian Economic and Financial Review - Year 2015, Vol 5, Issue 12
Abstract
This paper examines the dynamic dependence and extreme co-movements between real estate and equity markets in China. We illustrate these ideas in simple empirical settings, implementing the relatively techniques from copulas. When comparing the real estate indices and equity market indices in China, our results show that series in both Shanghai Exchange and Shenzhen Exchange exhibit tail dependence with their respective equity indices. Time-varying SJC copula is the optimal dependence structure while illustrate the extreme co-movement between real estate and equity markets in China.
Authors and Affiliations
Iou-Ming Wang| Assistant Professor, Department of International Business, Providence University, Taiwan, Ming Fang| Department of International Business Studies, National Chi Nan University, Taiwan, Chiu-Lan Chang*| Assistant Professor, Department of International Business, Providence University, Taiwan
Keywords
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- EP ID EP2238
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