Dynamic and frequency-domain spillover among economic policy uncertainty, stock and housing markets in China

【Author】 Xia, Tongshui; Yao, Chen-Xi; Geng, Jiang-Bo

【Source】INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS

【影响因子】8.235

【Abstract】This study examines the dynamic characteristics of information spillover effect among economic policy uncertainty (EPU), stock and housing markets in China's first-, second- and third-tier cities. To measure return and volatility spillovers over time and across frequencies simultaneously, the researchers utilize the time-frequency connectedness network approach developed by Barunik and Krehlik (2018). The empirical findings suggest that return and volatility spillovers are stronger in the longer period (more than 3 months) than in the shorter period (1 to 3 months). In the short term, second and third-tier cities are net transmitters of information spillovers, while in the long term, first-tier cities, EPU, and stock markets are the net information transmitters. Furthermore, the long-term information from the EPU and stock market affect most of the real estate markets for different tier cities. Additionally, market segmentation reveals the city-specific characteristics of China's real estate market, especially the close connections between first-tier cities and the stock market. These results have important empirical implications for real estate policymakers and investors when they make related short or long-term decisions.

【Keywords】Economic policy uncertainty; Stock market; China's housing market; Frequency domain; Information spillover

【发表时间】2020 JAN

【收录时间】2022-01-02

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