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The investigation of the dynamic linkages between real estate market and stock market in Greece

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  • Dimitrios Gounopoulos
  • Kyriaki Kosmidou
  • Dimitrios Kousenidis
  • Victoria Patsika

Abstract

We use quarterly data from Greece over the period 1997:1–2015:2 and investigate the dynamic linkages between the price of the real estate market and the price of the stock market focusing on two transmission mechanisms, namely the wealth and credit-price effects. The empirical analysis employs advanced methodological techniques and presents evidence supporting the existence of both the wealth effect and the credit effect in the long-run while in the short-run there is a one-way causal effect running from stock market towards house market. Results reveal asymmetric adjustment to equilibrium process and considerably stronger for positive deviations from the equilibrium.

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  • Dimitrios Gounopoulos & Kyriaki Kosmidou & Dimitrios Kousenidis & Victoria Patsika, 2019. "The investigation of the dynamic linkages between real estate market and stock market in Greece," The European Journal of Finance, Taylor & Francis Journals, vol. 25(7), pages 647-669, May.
    • Handle: RePEc:taf:eurjfi:v:25:y:2019:i:7:p:647-669
    DOI: 10.1080/1351847X.2018.1532443
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    3. Liu, Chao & Zheng, Ying & Zhao, Qi & Wang, Chao, 2020. "Financial stability and real estate price fluctuation in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    4. Imran Yousaf & Shoaib Ali, 2020. "Integration between real estate and stock markets: new evidence from Pakistan," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 13(5), pages 887-900, April.
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    6. Vinci, Sabato & Bartolacci, Francesca & Salvia, Rosanna & Salvati, Luca, 2022. "Housing markets, the great crisis, and metropolitan gradients: Insights from Greece, 2000–2014," Socio-Economic Planning Sciences, Elsevier, vol. 80(C).
    7. 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).
    8. Imran, Zulfiqar Ali & Ahad, Muhammad, 2021. "Safe Haven or Hedge: Diversification Abilities of Asset Classes in Pakistan," MPRA Paper 107613, University Library of Munich, Germany, revised 02 May 2021.
    9. Abul, Sadeq & Al-Kandari, Ahmad M., 2020. "Real Estate Market and Macroeconomic Factors in Kuwait: An ARDL Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 73(3), pages 405-434.
    10. Chung-Yim Yiu & Chuyi Xiong & Ka-Shing Cheung, 2022. "An Extended Fama-French Multi-Factor Model in Direct Real Estate Investing," JRFM, MDPI, vol. 15(9), pages 1-14, September.
    11. Chen, Chien-Fu & Chiang, Shu-hen, 2022. "Portfolio diversification possibilities between the stock and housing markets in G7 countries: Evidence from the time-varying Granger causality," Finance Research Letters, Elsevier, vol. 49(C).

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