Influence Mechanism of Contagion Effect of Asset Price Bubble between Markets—Take the Real Estate Market and the Stock Market, for Example

DOI

10.2991/978-94-6463-298-9_43How to use a DOI?

Keywords

Asset price bubble; Contagion effect; Vector Error Correction Model

Abstract

With the strengthening of macroeconomic regulation in the real estate market and the stock market being at a historically low valuation, there is an urgent need to study the mechanism of bubble contagion effects between the two markets. This study primarily measures the asset price bubbles in the real estate market and the stock market using two sets of variables. It aims to explore the short-term and long-term interactive relationship of bubbles between the two markets. After preprocessing the data, the Augmented Dickey-Fuller (ADF) unit root test is conducted to ensure the stationarity of the time series. Subsequently, an Error Correction Model (ECM) is established to test for the long-term equilibrium relationship among the variables. Based on the analysis results of the Vector Error Correction Model, it is concluded that there exists a cointegration relationship between the real estate market bubble and the stock market bubble, with a negative long-term equilibrium impact on each other. This conclusion provides valuable investment advice for investors in both markets, suggesting different strategies for long-term and short-term investments, and holds significant practical value.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Download article (PDF)

TY  - CONF
AU  - Wu Jiadong
PY  - 2023
DA  - 2023/11/30
TI  - Influence Mechanism of Contagion Effect of Asset Price Bubble between Markets—Take the Real Estate Market and the Stock Market, for Example
BT  - Proceedings of the 2023 International Conference on Finance, Trade and Business Management (FTBM 2023)
PB  - Atlantis Press
SP  - 392
EP  - 402
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-298-9_43
DO  - 10.2991/978-94-6463-298-9_43
ID  - Jiadong2023
ER  -