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Link between Housing and Stock Markets: Evidence from OECD Using Asymmetry Analysis

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  • Mohsen Bahmani-Oskooee

    (The University of Wisconsin-Milwaukee)

  • Seyed Hesam Ghodsi

    (The University of Wisconsin-Milwaukee)

Abstract

Increases in stock prices are said to affect house prices due to the wealth effect. Researchers have used aggregate indexes of both house and stock prices from different countries and produced mixed and poor results in support of the wealth effect. Like them, we find long-run support for the wealth effect in six out of 18 OECD countries when we use a linear model. However, when we separate the increases in stock prices from declines and estimate a nonlinear model, a long-run wealth effect is observed in 13 out of 18 OECD countries. Not only are the long-run effects asymmetric in all 13 countries, but so are the short-run effects in all of the countries.

Suggested Citation

  • Mohsen Bahmani-Oskooee & Seyed Hesam Ghodsi, 2018. "Link between Housing and Stock Markets: Evidence from OECD Using Asymmetry Analysis," International Real Estate Review, Global Social Science Institute, vol. 21(4), pages 447-471.
    • Handle: RePEc:ire:issued:v:21:n:04:2018:p:447-472
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    References listed on IDEAS

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    Cited by:

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    2. Yuming Li & Jing Yang, 2020. "Momentum Strategies with Home Price Indices and Stocks," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 861-892.
    3. Yuming Li & Jing Yang, 2020. "Momentum Strategies with Home Price Indices and Stocks," International Real Estate Review, Global Social Science Institute, vol. 23(2), pages 235-266.

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    More about this item

    Keywords

    House Prices; Stock Prices; Nonlinear ARDL Approach; 18 OECD Countries;
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    JEL classification:

    • L85 - Industrial Organization - - Industry Studies: Services - - - Real Estate Services

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