Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach
This paper provides empirical evidence on the long- and short-run relationships between real house and stock prices of South Africa. Standard linear tests may not detect the existence of long- and short-run relationships between time series especially in the presence of structural shifts or regime changes, which, in turn, may cause nonlinearities in the observed series. Thus, in this study, both linear and nonparametric cointegration and Granger Causality tests were conducted utilizing a monthly data set over 1966:01 and 2011:06. Results from the linear cointegration test showed no long-run relationship between house and stock prices. At the same time, the linear Granger causality test produced no evidence of causality running in any or both directions either. In contrast, the nonparametric cointegration test showed the existence of a long-run one-to-one relationship between the two series, with the nonparametric Granger causality test, in addition, indicating a bi-directional causality.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Dec 2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (+2712) 420 2413
Fax: (+2712) 362-5207
Web page: http://www.up.ac.za/economics
More information through EDIRC
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.:
- Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
- 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.
- 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.
- Yuming Fu & Lilian K Ng, 2000.
"Market Efficiency and Return Statistics: Evidence from Real Estate and stock Markets Using a Present-Value Approach,"
Wisconsin-Madison CULER working papers
00-03, University of Wisconsin Center for Urban Land Economic Research.
- Yuming Fu & Lilian K. Ng, 2001. "Market Efficiency and Return Statistics: Evidence from Real Estate and Stock Markets Using a Present-Value Approach," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 29(2), pages 227-250.
- Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
- Jan Kakes & Jan Willem Van Den End, 2004.
"Do stock prices affect house prices? Evidence for the Netherlands,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 11(12), pages 741-744.
- Bierens, H.J., 1995.
"Nonparametric cointegration analysis,"
1995-123, Tilburg University, Center for Economic Research.
- Granger, C. W. J., 1988. "Some recent development in a concept of causality," Journal of Econometrics, Elsevier, vol. 39(1-2), pages 199-211.
- Terasvirta, Timo & Tjostheim, Dag & Granger, Clive W. J., 2010. "Modelling Nonlinear Economic Time Series," OUP Catalogue, Oxford University Press, number 9780199587155, March.
- Mehmet Balcilar & Zeynel Abidin Ozdemir & Esin Cakan, 2011. "On the nonlinear causality between inflation and inflation uncertainty in the G3 countries," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 269-296, November.
- 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.
- Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers 1004, The Research Institute of the Finnish Economy.
- Bierens, Herman J., 1997. "Testing the unit root with drift hypothesis against nonlinear trend stationarity, with an application to the US price level and interest rate," Journal of Econometrics, Elsevier, vol. 81(1), pages 29-64, November.
- Panayotis Kapopoulos & Fotios Siokis, 2005. "Stock and real estate prices in Greece: wealth versus 'credit-price' effect," Applied Economics Letters, Taylor & Francis Journals, vol. 12(2), pages 125-128.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- Bell, David & Kay, Jim & Malley, Jim, 1998. "Nonparametric Regression and Causality Testing: A Monte-Carlo Study," Scottish Journal of Political Economy, Scottish Economic Society, vol. 45(5), pages 528-52, November.
- 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.
- Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
- Chen, Nan-Kuang, 2001. "Asset price fluctuations in Taiwan: evidence from stock and real estate prices 1973 to 1992," Journal of Asian Economics, Elsevier, vol. 12(2), pages 215-232.
When requesting a correction, please mention this item's handle: RePEc:pre:wpaper:201136. 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: (Rangan Gupta)
If references are entirely missing, you can add them using this form.