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Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets

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  • Yuki Toyoshima

    (Shinsei Bank, Limited, 4-3, Nihonbashi-muromachi 2-chome, Chuo-ku, Tokyo 103-8303, Japan)

Abstract

This paper employs the two-step procedure to analyze the causality-in-mean and causality-in-variance between the housing and stock markets of the UK. The empirical findings make two key contributions. First, although previous studies have indicated a one-way causal relation from the housing market to the stock market in the UK, this paper discovered a two-way causal relation between them. Second, a causality-in-variance as well as a causality-in-mean was detected from the housing market to the stock market.

Suggested Citation

  • Yuki Toyoshima, 2018. "Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-10, April.
    • Handle: RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:21-:d:143280
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    1. Shigeyuki Hamori, 2020. "Empirical Finance," JRFM, MDPI, vol. 13(1), pages 1-3, January.

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