Are Chinese stock and property markets integrated or segmented?

Chris Adcock, Xiuping Hua, Yiping Huang

Research output: Journal PublicationArticlepeer-review

9 Citations (Scopus)

Abstract

This paper explores the empirical question of whether Chinese stock and property markets are integrated or segmented. We find that, at the national level, investment returns in property and the A-share markets were co-integrated in the long run. In the short run, property price Granger caused A-share prices, but not vice versa. However, the B-share prices were negatively correlated with property prices. Furthermore, the linkage between city-level property prices and stock prices showed significant variations across the country. These findings reveal that property and stock markets were integrated at the national level but the property markets were reasonably segmented among cities. They suggest that investment portfolios pursuing risk diversification should include both A and B shares and properties from different cities.

Original languageEnglish
Pages (from-to)345-370
Number of pages26
JournalEuropean Journal of Finance
Volume22
Issue number4-6
DOIs
Publication statusPublished - 2 May 2016

Keywords

  • China
  • asset markets
  • integration
  • segmentation

ASJC Scopus subject areas

  • Economics, Econometrics and Finance (miscellaneous)

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