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More Evidence on the Relationship between the Stock and the Real Estate Market

Author

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  • Apergis, Nicholas
  • Lamprinidis, Lampros

Abstract

This study explores the relationship between the stock market and the real estate market. Through the methodologies of cointegration and the Error Correction modeling and data from both the US and the UK stock and the real estate markets over the period 1985 through 2006 the results display that the two markets are considered highly integrated. The empirical findings have implications for managing property assets fund managers, for the pricing efficiency within the real estate market, and for policy makers regarding economic safety.

Suggested Citation

  • Apergis, Nicholas & Lamprinidis, Lampros, 2007. "More Evidence on the Relationship between the Stock and the Real Estate Market," MPRA Paper 124596, University Library of Munich, Germany, revised 2011.
    • Handle: RePEc:pra:mprapa:124596
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    File URL: https://mpra.ub.uni-muenchen.de/124596/2/MPRA_paper_124596.pdf
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    References listed on IDEAS

    as
    1. Daniel C. Quan & Sheridan Titman, 1999. "Do Real Estate Prices and Stock Prices Move Together? An International Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 27(2), pages 183-207, June.
    2. 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, September.
    3. 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, December.
    4. David Geltner, 1990. "Return Risk and Cash Flow Risk with Long‐term Riskless Leases in Commercial Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 18(4), pages 377-402, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    stock market; real estate market; cointegration and error correction modeling; US and UK market data;
    All these keywords.

    JEL classification:

    • E00 - Macroeconomics and Monetary Economics - - General - - - General
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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