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conference (2017) for comments and suggestions that significantly improved the paper. Ding acknowledges financial support from the National Natural Science Foundation of China (no. 71703086). Fang acknowledges the financial support from the China Research Engagement Fund of the University of Pennsylvania. We are responsible for all remaining errors. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

The causality between the real estate and stock markets of China remains a mystery in the literature. This paper investigates the non-linear causal relationship between real estate property and stock returns in China from the perspective of conditional quantiles. The results of the quantile causality test suggest a significant causal relationship between these two markets, especially in the tail quantile.JEL code: C22; O18; R31