Causality between Real Estate Market and Stock Market: Evidence from REIT Index in Taiwan

DOI

10.2991/icmeim-17.2017.97How to use a DOI?

Keywords

Real estate, REIT, Stock index, Causality, Mackey-Glass

Abstract

This paper investigates short-run dynamic interactions between real estate investment trust (REIT) index and stock market index in Taiwan over the 2006-2015 periods. In addition to traditional linear analysis, the recently developed models are applied to explore the possible short-run non-linear linkage between the two indexes. The results of linear Granger causality tests show weak evidence of linear causality from REIT index to stock index. Further analysis from non-linearGranger causality test sreveals no causality between the two indexes. These findings have important implication for investors.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Yih-Chang Wang
AU  - Ran Huang
AU  - Chien-Chung Nieh
AU  - Hong-Kou Ou
PY  - 2017/02
DA  - 2017/02
TI  - Causality between Real Estate Market and Stock Market: Evidence from REIT Index in Taiwan
BT  - Proceedings of the 2017 International Conference on Manufacturing Engineering and Intelligent Materials (ICMEIM 2017)
PB  - Atlantis Press
SP  - 573
EP  - 580
SN  - 2352-5401
UR  - https://doi.org/10.2991/icmeim-17.2017.97
DO  - 10.2991/icmeim-17.2017.97
ID  - Wang2017/02
ER  -