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The nexus between stock market index and apartment and villa prices

Author

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  • Peter Öhman
  • Darush Yazdanfar

Abstract

Purpose - The purpose of this study is to investigate the Granger causal link between the stock market index and housing prices in terms of apartment and villa prices. Design/methodology/approach - Monthly data from September 2005 to October 2013 on apartment prices, villa prices, the stock market index, mortgage rates and the consumer price index were used. Statistical methods were applied to explore the long-run co-integration and Granger causal link between the stock market index and apartment and villa prices in Sweden. Findings - The results indicate that the stock market index and housing prices are co-integrated and that a long-run equilibrium relationship exists between them. According to the Granger causality tests, bidirectional relationships exist between the stock market index and apartment and villa prices, respectively, supporting the wealth and credit-price effects. Moreover, variations in apartment and villa prices are primarily caused by endogenous shocks. Originality/value - To the authors’ best knowledge, this study represents a first analysis of the causal nexus between the stock market and the housing market in terms of apartment and villa prices in the Swedish context using a vector error-correction model to analyze monthly data.

Suggested Citation

  • Peter Öhman & Darush Yazdanfar, 2017. "The nexus between stock market index and apartment and villa prices," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 10(3), pages 450-467, June.
    • Handle: RePEc:eme:ijhmap:ijhma-09-2016-0069
    DOI: 10.1108/IJHMA-09-2016-0069
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    Citations

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    Cited by:

    1. Mansoor Alam Khan & Riaz Ahmad & Dr. Muhammad Akram & Hafiz Muhammad Ishaq, 2021. "The Effect Of Macroeconomic Indicators On Stock Market: A Study On Asian Economies," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 10(1), pages 114-127, March.
    2. Yener Coskun & Burak Sencer Atasoy & Giacomo Morri & Esra Alp, 2018. "Wealth Effects on Household Final Consumption: Stock and Housing Market Channels," IJFS, MDPI, vol. 6(2), pages 1-32, June.

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