Do housing market and stock market perform differently in Taiwan? an application of stochastic dominance tests

Abstract

This paper applies recent econometric tests of stochastic dominance to examine the investment performance between Housing Market and Stock Market from the period 1996 to 2011 in Taiwan. We find that there is non-significant first-order stochastic dominance relation between Housing Market and Stock Market. But the investment performance of Stock Market is second and third order stochastically dominated by that of Housing Market. The outstanding findings from our empirical evidences could be demonstrated that the investment performance of Housing Market stochastically dominates the investment performance of Stock Market in Taiwan.