IDEAS home Printed from https://ideas.repec.org/p/arz/wpaper/eres2025_305.html

Spatial Spillovers between Stock, Residential REITs, and Housing Market

Author

Listed:
  • Yuan Zhao
  • Pin-Te Lin

Abstract

Extensive body of literature investigating the dynamic relationship between national housing and stock price movements has been conducted. However, studies focusing on the regional housing markets are scant. In this study, we intend to explore the dynamics between regional housing, residential REITs, and stock markets in the US, to provide a comprehensive view of the spatialisation of the performance of indirect real estate, direct real estate, and stock markets. Using house price index for national and 20 cities, we employ the unconditional and rolling-window three-dimensional VAR model and Diebold-Yilmaz spillover index to investigate the contemporaneous relationships among the three markets. The linkage between causality and spatial dynamics from the local housing market, such as population, income, and elasticities, have been examined. We find strong bi-directional causality between stock market and residential REITs, at both national- and city-level. However, only single-directional causality has been detected from stock or residential REITs to housing market for majority of cities, implying a wealth effect. We find stronger spillovers from REITs to housing compared to stock to housing market. The spillovers from housing to the other two markets are significantly lower. The transmission of spillovers get intensified during economics crisis periods, and regional market elasticities.

Suggested Citation

  • Yuan Zhao & Pin-Te Lin, 2025. "Spatial Spillovers between Stock, Residential REITs, and Housing Market," ERES eres2025_305, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2025_305
    as

    Download full text from publisher

    File URL: https://eres.architexturez.net/doc/oai-eres-id-eres2025-305
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arz:wpaper:eres2025_305. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Architexturez Imprints (email available below). General contact details of provider: https://edirc.repec.org/data/eressea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.