期刊
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
卷 67, 期 -, 页码 -出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.irfa.2019.101427
关键词
Economic policy uncertainty; Stock market; China's housing market; Frequency domain; Information spillover
资金
- National Natural Science Foundation of China [71503274, 71874206]
- China Postdoctoral Science Foundation [2016M591263]
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.
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