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Examination of the directions of spillover effects between the real estate and stock prices in Poland using wavelet analysis

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  • Marcin Koltuniak

    () (Warsaw School of Economics, Collegium of Business Administration)

Abstract

The main purpose of this article is to discuss the existence of the spillover effects between the direct real estate, indirect real estate (real estate company stocks) and stock market price indices in Poland and to verify whether the directions of these relationships are stable in the time and frequency domains. For this purpose we have used wavelet analysis methods, such as wavelet coherency and wavelet phase difference analyses, which allow to check the indicated stability and detecting dates of any potential structural changes. The results have not confirmed the hypothesis that the directions of these relationships were constant in the examined period of 2004 Q4 – 2014 Q4, which indicates the existence of structural changes. This means that diffusion scenarios of crises opposite to the 2007−2008 global crisis scenarios, when local property pricing collapses resulted in the global financial crisis, would also be possible. Consequently, the indicated results disprove the usefulness of the knowledge on the current directions of these effects in terms of projecting and/or monitoring the long-term macroprudential or long-term housing policies in Poland, and also give some new insights into investment policy issues.

Suggested Citation

  • Marcin Koltuniak, 2016. "Examination of the directions of spillover effects between the real estate and stock prices in Poland using wavelet analysis," Bank i Kredyt, Narodowy Bank Polski, vol. 47(3), pages 251-266.
  • Handle: RePEc:nbp:nbpbik:v:47:y:2016:i:3:p:251-266
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    References listed on IDEAS

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    More about this item

    Keywords

    real estate market; real estate company stocks; spillover effects;

    JEL classification:

    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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