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

Yih-Chang Wang, Ran Huang, Chien-Chung Nieh, Hong-Kou Ou
2017 Proceedings of the 2017 International Conference on Manufacturing Engineering and Intelligent Materials (ICMEIM 2017)   unpublished
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
more » ... t sreveals no causality between the two indexes. These findings have important implication for investors.
doi:10.2991/icmeim-17.2017.97 fatcat:encdttzfrzcb3kyllriya5vrai