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Dependence of Real Estate and Equity Markets in China with the Application of Copula

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  • Iou-Ming Wang
  • Ming Fang
  • Chiu-Lan Chang

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.

Suggested Citation

  • Iou-Ming Wang & Ming Fang & Chiu-Lan Chang, 2015. "Dependence of Real Estate and Equity Markets in China with the Application of Copula," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(12), pages 1258-1266.
    • Handle: RePEc:asi:aeafrj:v:5:y:2015:i:12:p:1258-1266:id:1438
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