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The Cross-Correlation Relationship Between the Real Estate Industry and High-Quality Economic Development

Author

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  • Zhang Mengwan

    (School of Economics and Management, Beijing University of Technology, Beijing100124, China)

  • Gao Fengfeng

    (School of Economics and Management, Beijing University of Technology, Beijing100124, China)

  • Gao Jialin

    (School of Economics and Management, Tsinghua University, Beijing100084, China)

  • Chen Weiguo

    (College of Economics and Management, Beijing University of Technology, Beijing100124, China)

  • Lee Chong Aik

    (UCSI University, Selangor56000, Malaysia)

Abstract

Based on China’s real estate investment (REI), commercial housing sales (CHS), and GDP data from 2001 to 2020, we studied the dependence, asymmetry, and transmission direction of China’s real estate and economy. Their cross-correlation is demonstrated through the deep cross-correlation analysis (DCCA) algorithm, multifractal asymmetric detrended cross-correlation analysis (MF-ADCCA) algorithm and DCCA algorithm based on a time delay. Both REI and CHS have persistence with GDP. The real estate industry and economy have asymmetric multifractal characteristics. Meanwhile, real estate and the economy have different trends, and they can affect each other with the same length of time delay. This effect diminishes in a short period of time, and there are unsteady fluctuations in cross-correlation persistence in the long term.

Suggested Citation

  • Zhang Mengwan & Gao Fengfeng & Gao Jialin & Chen Weiguo & Lee Chong Aik, 2021. "The Cross-Correlation Relationship Between the Real Estate Industry and High-Quality Economic Development," Journal of Systems Science and Information, De Gruyter, vol. 9(6), pages 704-720, December.
    • Handle: RePEc:bpj:jossai:v:9:y:2021:i:6:p:704-720:n:7
    DOI: 10.21078/JSSI-2021-704-17
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    References listed on IDEAS

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    1. Hasan, Rashid & Mohammed Salim, M., 2017. "Power law cross-correlations between price change and volume change of Indian stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 620-631.
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