Did Bubbles Migrate from the Stock to the Housing Market in China between 2005 and 2010?

26 Pages Posted: 4 Apr 2017 Last revised: 11 Sep 2017

See all articles by Yongheng Deng

Yongheng Deng

Wisconsin School of Business, University of Wisconsin-Madison

Eric Girardin

University Aix-Marseille 2 - GREQAM

Roselyne Joyeux

Macquarie University - Department of Economics; Financial Research Network (FIRN); Macquarie University, Macquarie Business School

Shuping Shi

Macquarie University

Multiple version iconThere are 2 versions of this paper

Date Written: March 1, 2017

Abstract

The speculative nature of both stock and housing markets in China has attracted the attention of observers. However, while stock market data are easily available, the low frequency and low quality of publicly available housing price data hampers the study of the relationship between the two markets. We use original hedonic weekly resale housing prices of a major Chinese housing market and study them in conjunction with Shanghai’s stock market index in the second half of the 2000s. The use of the Phillips et al. (2015 a, b) recursive explosive-root test enables us to detect and date speculative episodes in both markets. We then implement the Greenaway-McGrevy and Phillips (2016) methodology to detect the presence of migration between the two types of bubbles. We detect significant migration from the stock to the housing market bubble in 2009 and a temporary spillover in 2007.

Suggested Citation

Deng, Yongheng and Girardin, Eric and Joyeux, Roselyne and Shi, Shuping, Did Bubbles Migrate from the Stock to the Housing Market in China between 2005 and 2010? (March 1, 2017). Available at SSRN: https://ssrn.com/abstract=2945257 or http://dx.doi.org/10.2139/ssrn.2945257

Yongheng Deng (Contact Author)

Wisconsin School of Business, University of Wisconsin-Madison ( email )

4110 Grainger Hall
975 University Avenue
Madison, WI 53706
United States
+1 (608) 262-4865 (Phone)

HOME PAGE: http://https://bus.wisc.edu/faculty/yongheng-deng

Eric Girardin

University Aix-Marseille 2 - GREQAM ( email )

Centre de la Vieille Charité
Marseille, 13 002
France

Roselyne Joyeux

Macquarie University - Department of Economics ( email )

Sydney NSW 2109
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Macquarie University, Macquarie Business School ( email )

New South Wales 2109
Australia

Shuping Shi

Macquarie University ( email )

North Ryde
Sydney, New South Wales 2109
Australia

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