Interactions between Real Estate and Equity Markets: an Investigation of Linkages in Developed and Emerging Countries
This study analyzes the long-run cointegration relationship between equity and real estate prices in 30 developed and emerging economies divided into four subpanels related to the income level and the financial market structure. We test for cointegration between equity and real estate prices using the pooled mean group estimator of the dynamic heterogeneous panel on the entire panel sample and on subpanels in order to isolate the variation of codependencies among country groups. The results suggest equity prices and real estate prices are closely correlated, synchronized and codependent, with the degree of codependencies depending on the income levels and the structure of the financial markets of the given countries. In economies with a market-based financial system and in developed economies, the reaction of both asset prices to economic news is more synchronized when compared to the remaining two groups. The stock market crash and the global financial crisis significantly increased the level of segmentation between the stock markets and the real estate markets, with the segmentation being more pronounced in developed economies.
Volume (Year): 64 (2014)
Issue (Month): 2 (March)
|Contact details of provider:|| Postal: |
Phone: +420 2 222112330
Fax: +420 2 22112304
Web page: http://ies.fsv.cuni.cz/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Emmanuel Anoruo & Habtu Braha, 2008. "Housing and Stock Market Returns: An Application of GARCH Enhanced VECM," The IUP Journal of Financial Economics, IUP Publications, vol. 0(2), pages 30-40, June.
- Kim Hiang Liow, 2006. "Dynamic relationship between stock and property markets," Applied Financial Economics, Taylor & Francis Journals, vol. 16(5), pages 371-376.
- Joakim Westerlund, 2007.
"Testing for Error Correction in Panel Data,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 69(6), pages 709-748, December.
- Kim Liow & Haishan Yang, 2005. "Long-Term Co-Memories and Short-Run Adjustment: Securitized Real Estate and Stock Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 31(3), pages 283-300, November.
- Mike Miles & Rebel Cole & David Guilkey, 1990. "A Different Look at Commercial Real Estate Returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 403-430.
- Liu, Crocker H, et al, 1990. "The Integration of the Real Estate Market and the Stock Market: Some Preliminary Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 3(3), pages 261-82, September.
- Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2000. "The Causal Relationship between Real Estate and Stock Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 251-61, November.
- Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics,
Elsevier, vol. 115(1), pages 53-74, July.
- Tom Doan, . "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Shively, Philip A., 2003. "The nonlinear dynamics of stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 505-517.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
- Schnare, Ann B. & Struyk, Raymond J., 1976. "Segmentation in urban housing markets," Journal of Urban Economics, Elsevier, vol. 3(2), pages 146-166, April.
- Ross Levine, 2002.
"Bank-Based or Market-Based Financial Systems: Which is Better?,"
NBER Working Papers
9138, National Bureau of Economic Research, Inc.
- Levine, Ross, 2002. "Bank-Based or Market-Based Financial Systems: Which Is Better?," Journal of Financial Intermediation, Elsevier, vol. 11(4), pages 398-428, October.
- Ross Levine, 2002. "Bank-Based or Market-Based Financial Systems: Which is Better?," William Davidson Institute Working Papers Series 442, William Davidson Institute at the University of Michigan.
- John Okunev & Pat Wilson, 1995.
"Using Non-Linear Tests to Examine Integration Between Real Estate and Equity Markets,"
Working Paper Series
47, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- John Okunev & Patrick J. Wilson, 1997. "Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(3), pages 487-503.
- Pesaran, M. Hashem & Smith, Ron, 1995.
"Estimating long-run relationships from dynamic heterogeneous panels,"
Journal of Econometrics,
Elsevier, vol. 68(1), pages 79-113, July.
- Pesaran, M.H. & Smith, R., 1992. "Estimating Long-Run Relationships From Dynamic Heterogeneous Panels," Cambridge Working Papers in Economics 9215, Faculty of Economics, University of Cambridge.
- Yu-Shao Liu & Chi-Wei Su, 2010. "The relationship between the real estate and stock markets of China: evidence from a nonlinear model," Applied Financial Economics, Taylor & Francis Journals, vol. 20(22), pages 1741-1749.
- Paresh Kumar Narayan, 2005. "Are the Australian and New Zealand stock prices nonlinear with a unit root?," Applied Economics, Taylor & Francis Journals, vol. 37(18), pages 2161-2166.
- Lizieri, Colin & Satchell, Stephen, 1997. "Interactions between Property and Equity Markets: An Investigation of Linkages in the United Kingdom 1972-1992," The Journal of Real Estate Finance and Economics, Springer, vol. 15(1), pages 11-26, July.
When requesting a correction, please mention this item's handle: RePEc:fau:fauart:v:64:y:2014:i:2:p:100-119. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lenka Herrmannova)
If references are entirely missing, you can add them using this form.