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The dynamics of the relationship between real estate and stock markets in an energy-based economy: The case of Qatar

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  • Al Refai, Hisham
  • Eissa, Mohamad Abdelaziz
  • Zeitun, Rami

Abstract

In this study, we investigate the dynamic linkages between the real estate and stock markets in Qatar. Using monthly data over the period 2006–2020, the nonlinear model of Enders and Siklos (2001) and the linear and nonlinear Autoregressive Distributed Lag (ARDL) models, our investigation seeks to trace the channel of transmission between the two markets outlined by two well-known theories: namely, the effects of wealth and of credit. The results show that the model of Enders and Siklos (2001) does not explain the dynamics of the relationship between the two markets. The linear ARDL provides some evidence to support the wealth effect but the model is mis-specified. The results from the nonlinear ARDL model support to the effect of wealth and provide evidence on the dynamic linkages between the two markets in the short run as well as the long run. In addition, when money supply, bank credit, oil prices, and currency reserves are in a downturn, we find a long-run relationship between their rate of decline and that of real estate prices, but in an upturn, the rate of increase of real estate prices has a long-run relationship with the rate of increase in the inflation rate. Our results show that the nonlinear ARDL model passes a battery of rigorous tests of robustness. The implications of the empirical results are also discussed.

Suggested Citation

  • Al Refai, Hisham & Eissa, Mohamad Abdelaziz & Zeitun, Rami, 2021. "The dynamics of the relationship between real estate and stock markets in an energy-based economy: The case of Qatar," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
    • Handle: RePEc:eee:joecas:v:23:y:2021:i:c:s1703494921000050
    DOI: 10.1016/j.jeca.2021.e00200
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    2. Alshubiri, Faris, 2021. "Financial deepening indicators and income inequality of OECD and ASIAN countries," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).

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    More about this item

    Keywords

    Real estate; Stock market; Wealth effect; Credit effect; Enders and Siklos (2001); Nonlinear cointegration; Nonlinear ARDL;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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