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Dynamics of Causality between Real Estate and Stock Prices: Evidence from Türkiye

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  • Evrim TURGUTLU
  • Pınar NARİN EMİRHAN

Abstract

This paper aims to examine the causal relationship between real estate and stock prices in Türkiye over the 2010-2023 period and uncover whether the wealth effect or the credit price effect has been dominant. This study investigates the association between real estate prices and stock prices in Türkiye using both linear and non-linear ARDL cointegration models. A recently developed non-linear ARDL technique by Shin, Yu, and Greenwood-Nimmo (2014) is employed to investigate possible asymmetric relationships between real estate and stock prices. Linear ARDL bounds test results indicate strong evidence of wealth effect for Türkiye. The findings of the non-linear ARDL technique reveal that there is a strong asymmetric association between real estate and stock prices in Türkiye and there is evidence of the existence of both wealth and credit price effects. The asymmetric association is more dominant in the credit price effect model. The findings of the study will help both investors and policymakers to establish effective policies for developing portfolios considering the asymmetric associations and provide a better understanding of the driving forces behind real estate prices.

Suggested Citation

  • Evrim TURGUTLU & Pınar NARİN EMİRHAN, 2025. "Dynamics of Causality between Real Estate and Stock Prices: Evidence from Türkiye," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 10(1), pages 127-139.
    • Handle: RePEc:ahs:journl:v:10:y:2025:i:1:p:127-139
    DOI: https://doi.org/10.30784/epfad.1599083
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    References listed on IDEAS

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    1. Panayotis Kapopoulos & Fotios Siokis, 2005. "Stock and real estate prices in Greece: wealth versus 'credit-price' effect," Applied Economics Letters, Taylor & Francis Journals, vol. 12(2), pages 125-128.
    2. Jan Kakes & Jan Willem Van Den End, 2004. "Do stock prices affect house prices? Evidence for the Netherlands," Applied Economics Letters, Taylor & Francis Journals, vol. 11(12), pages 741-744.
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    More about this item

    Keywords

    Real Estate Prices; Stock Prices; Asymmetric Relationship; Nonlinear ARDL Models;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • 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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