Dynamic Linkage between the Stock Market
碩士 === 逢甲大學 === 金融碩士在職專班 === 103 === This study applies Granger causality test based on Frequency domain, proposed by Brietung and Candelon (2006) to investigate the dynamic linkage between real estate market and stock market for China over 2004M1 to 2014M12. Empirical results from Granger causality...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/35173917632887959482 |
| Summary: | 碩士 === 逢甲大學 === 金融碩士在職專班 === 103 === This study applies Granger causality test based on Frequency domain, proposed by Brietung and Candelon (2006) to investigate the dynamic linkage between real estate market and stock market for China over 2004M1 to 2014M12. Empirical results from Granger causality test based on Frequency domain support a feedback relationship between real estate and stock price indexes. However, we get different results when we incorporate discount rate as a control variable into our analysis model. We find one-way Granger causality running from real estate market to stock market, support credit-price effect in China.
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