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Integrated or segmented? a wavelet transform analysis on relationship between stock and real estate markets

Author

Listed:
  • Ching-Chin Chou

    (National Taipei University)

  • Show-Lin Chen

    (Fu-Jen Catholic University)

Abstract

The goal of this paper is to investigate the relationship between stock and real estate markets via wavelet analysis. Based on wavelet transform, stock price index and REITs index are firstly decomposed into “volatility components”, that is, the wavelet coefficients. Secondly, we test the causality relationship between stock price index and REITs index of each subband under the concept of multi-resolution representation. The result revealed that the relationship between stock and real estates markets is neither simply segmented nor purely integrated; the behaviors would vary not only over various observation time scales but also with different REITs.

Suggested Citation

  • Ching-Chin Chou & Show-Lin Chen, 2011. "Integrated or segmented? a wavelet transform analysis on relationship between stock and real estate markets," Economics Bulletin, AccessEcon, vol. 31(3), pages 1-38.
    • Handle: RePEc:ebl:ecbull:eb-11-00558
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    File URL: http://www.accessecon.com/pubs/EB/2011/Volume31/EB-11-V31-I3-A38.pdf
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    Citations

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    Cited by:

    1. Ming-Te Lee & Chyi Lin Lee & Ming-Long Lee & Chien-Ya Liao, 2017. "Price linkages between Australian housing and stock markets," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 10(2), pages 305-323, April.
    2. Hong, Yun & Li, Yi, 2020. "Housing prices and investor sentiment dynamics: Evidence from China using a wavelet approach," Finance Research Letters, Elsevier, vol. 35(C).
    3. Erdost Torun & Afife Duygu Ayhan Akdeniz & Erhan Demireli & Simon Grima, 2022. "Long-Term US Economic Growth and the Carbon Dioxide Emissions Nexus: A Wavelet-Based Approach," Sustainability, MDPI, vol. 14(17), pages 1-16, August.
    4. Torun, Erdost & Chang, Tzu-Pu & Chou, Ray Y., 2020. "Causal relationship between spot and futures prices with multiple time horizons: A nonparametric wavelet Granger causality test," Research in International Business and Finance, Elsevier, vol. 52(C).
    5. Liow, Kim Hiang & Huang, Yuting & Song, Jeonseop, 2019. "Relationship between the United States housing and stock markets: Some evidence from wavelet analysis," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).

    More about this item

    Keywords

    REITS markets; stock markets; causality; wavelet transform;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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