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Investigating the asymmetric relationship between housing prices and the stock market in Iran: quantile-on-quantile approach

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  • Roozbeh Balounejad Nouri

Abstract

Purpose - The purpose of this study, the nonlinear relationship between the real estate market and the stock market was investigated in Iran. For this intent, the monthly data from 2012:4 to 2022:5 is used. Design/methodology/approach - In this study, the quantile-on-quantile estimation method is used, which is a combination of the nonparametric estimation methods and the quantile regression. Findings - The research results show that, in the low quantiles, the effect of stock market return on the housing market return is negative or zero. In fact, in this situation, the increasing returns in the stock market will shift part of the financial resources of the economy to the market and create stagnation or even negative returns in the housing market. This situation is seen more strongly in some other quantiles, including the 0.25 and 0.75 quantiles; in contrast, the effect of high quantiles of stock market returns is positive on the housing market. Originality/value - It seems that the demand in the housing market increase in a situation where the returns of the stock market are growing, and the market is in a bullish condition, and this causes an increase in the price and returns in this market. In addition, the results show that the effect of stock market returns on capital market returns is asymmetric and nonlinear.

Suggested Citation

  • Roozbeh Balounejad Nouri, 2022. "Investigating the asymmetric relationship between housing prices and the stock market in Iran: quantile-on-quantile approach," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 17(2), pages 436-452, October.
    • Handle: RePEc:eme:ijhmap:ijhma-07-2022-0104
    DOI: 10.1108/IJHMA-07-2022-0104
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    More about this item

    Keywords

    Housing market; Stock market; Asymmetric relationship; C32; G12; R31;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • R31 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Housing Supply and Markets

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