Proceedings of the 2017 International Conference on Manufacturing Engineering and Intelligent Materials (ICMEIM 2017)

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

Authors
Yih-Chang Wang, Ran Huang, Chien-Chung Nieh, Hong-Kou Ou
Corresponding Author
Yih-Chang Wang
Available Online February 2017.
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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Volume Title
Proceedings of the 2017 International Conference on Manufacturing Engineering and Intelligent Materials (ICMEIM 2017)
Series
Advances in Engineering Research
Publication Date
February 2017
ISBN
10.2991/icmeim-17.2017.97
ISSN
2352-5401
DOI
10.2991/icmeim-17.2017.97How to use a DOI?
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/).

Cite this article

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  -