Dynamic and frequency-domain spillover among economic policy uncertainty, stock and housing markets in China
Highlights•Spillovers among EPU, stock and housing markets in China are investigated.•Return and volatility spillovers over time and across frequencies are measured.•Spillovers are stronger in the longer period than in the shorter period.•Long-term information from EPU and stock market affects most of real estate markets.•Close connection between first-tier cities and the stock market is obvious.AbstractThis study examines the dynamic characteristics of information spillover effect among economic policy uncertainty (EPU), stock and housing markets in China's first-, second- and third-tier cities. To measure return and volatility spillovers over time and across frequencies simultaneously, the researchers utilize the time-frequency connectedness network approach developed by Baruník and Křehlík (2018). The empirical findings suggest that return and volatility spillovers are stronger in the longer period (more than 3 months) than in the shorter period (1 to 3 months). In the short term, second and third-tier cities are net transmitters of information spillovers, while in the long term, first-tier cities, EPU, and stock markets are the net information transmitters. Furthermore, the long-term information from the EPU and stock market affect most of the real estate markets for different tier cities. Additionally, market segmentation reveals the city-specific characteristics of China's real estate market, especially the close connections between first-tier cities and the stock market. These results have important empirical implications for real estate policymakers and investors when they make related short or long-term decisions.
سرریز پویا و فرکانس - دامنه در میان عدم قطعیت سیاست اقتصادی، بازار سهام و مسکن در چین