Dynamic Linkage between the Stock Market

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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Main Author: 蘇麗淑
Other Authors: 張倉耀
Format: Others
Language:zh-TW
Published: 2015
Online Access:http://ndltd.ncl.edu.tw/handle/35173917632887959482
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spelling ndltd-TW-103FCU056670092016-07-31T04:22:35Z http://ndltd.ncl.edu.tw/handle/35173917632887959482 Dynamic Linkage between the Stock Market 中國股票市場與房地產市場連動性之探討 蘇麗淑 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. 張倉耀 陳森松 2015 學位論文 ; thesis 42 zh-TW
collection NDLTD
language zh-TW
format Others
sources NDLTD
description 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.
author2 張倉耀
author_facet 張倉耀
蘇麗淑
author 蘇麗淑
spellingShingle 蘇麗淑
Dynamic Linkage between the Stock Market
author_sort 蘇麗淑
title Dynamic Linkage between the Stock Market
title_short Dynamic Linkage between the Stock Market
title_full Dynamic Linkage between the Stock Market
title_fullStr Dynamic Linkage between the Stock Market
title_full_unstemmed Dynamic Linkage between the Stock Market
title_sort dynamic linkage between the stock market
publishDate 2015
url http://ndltd.ncl.edu.tw/handle/35173917632887959482
work_keys_str_mv AT sūlìshū dynamiclinkagebetweenthestockmarket
AT sūlìshū zhōngguógǔpiàoshìchǎngyǔfángdechǎnshìchǎngliándòngxìngzhītàntǎo
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