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Return Correlation of China's Real Estate and Stock Markets
Umeå University, Faculty of Social Sciences, Umeå School of Business.
Umeå University, Faculty of Social Sciences, Umeå School of Business.
2010 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

China’s economy has experienced a spectacular growth and achieved a remarkable success over the past three decades. Opportunities created by the striking economic growth have led China’s most important investment markets, real estate and stock markets to undertake an enormous transformation and development.

This paper is concentrated on examining the relationship between the returns on Chinese real estate and stock markets. In particular, the paper attempts to investigate whether the returns are correlated between them, and to explore the potential diversification effects on creating a balanced portfolio including both real estate and stock assets. The empirical study is conducted on the basis of monthly data collected from year 2005 to 2010. Statistical tests are applied to measure the magnitude of return correlations between Chinese real estate and stock markets.

The results of the empirical study indicate that the monthly returns on Chinese real estate and stock markets are not correlated. And when investing in China’s capital markets, diversification benefits could be achieved by creating a balanced portfolio including both real estate and stock assets.

Keywords: Return Correlation; Diversification Benefit; Chinese Real Estate market;

Chinese Stock Market

Place, publisher, year, edition, pages
2010. , 56 p.
Keyword [en]
Return Correlation; Diversification Benefit; Chinese Real Estate market;Chinese Stock Market
National Category
Business Administration
Identifiers
URN: urn:nbn:se:umu:diva-38319OAI: oai:DiVA.org:umu-38319DiVA: diva2:374610
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2010-12-06 Created: 2010-12-06 Last updated: 2010-12-06Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf