Diversification in multi-asset portfolios in the context of the chinese real estate and stock market

Mestrado em FinançasThis study uses a single index model to examine the correlation between Chinese real estate and the stock market. The real estate market is reflected by 3 years' monthly data of 13 listed real estate companies and the stock market is represented by Shanghai Composite index and Shenzhen Component index. According to the analysis, it is found that the correlation between the real estate and the stock market is in fact very low, and thus real estate is a good option for diversification is a multi-asset portfolio