Do house prices influence stock prices? Empirical investigation from the panel of selected European Union countries

Figures & data

Table 1. Panel heterogeneous unit root test results.

Variables	Im, Pesaran, and Shin, W-stat
	Level	First difference
SP	−0.602	−13.963**
HP	10.994	−32.565**
Levin, Lin, and Chu, t-stat
SP	−1.020	−5.671**
HP	1.968	−2.031*

Source: Authors’ estimation.

Note: SP indicates stock prices and HP indicates house prices.

* 5% level of significance

** 1% level of significance.

Table 2. Pedroni’s heterogeneous panel co-integration test results.

Within-dimension	Test statistic	Between-dimension	Test statistic
Panel v-Statistic	−1.788
Panel rho-Statistic	2.065	Group rho-Statistic	4.240
Panel PP-Statistic	1.359	Group PP-Statistic	3.305
Panel ADF-Statistic	1.605	Group ADF-Statistic	3.598

Source: Authors’ estimation.

Table 3. Dynamic OLS estimates.

Countries	Dependent variable: ln(SP)
	Coefficient	t-statistics
Austria	−1.7405*	−2.5099
Belgium	−3.0121**	−3.0746
Bulgaria	1.3484**	7.0632
Croatia	3.3544**	2.7958
Cyprus	2.4603**	3.7492
Denmark	2.5247**	2.6014
Estonia	1.0483**	5.7960
France	−0.1285	−0.0971
Germany	−19.364**	−8.2285
Greece	5.1159**	5.8452
Hungry	1.9166*	2.0821
Italy	−2.9469	−0.6302
Latvia	0.6543**	4.8773
Lithuania	1.0960**	5.8059
Luxembourg	−2.1814**	−3.1228
Malta	6.5546**	5.7801
Poland	5.6981**	4.7397
Slovakia	3.1065**	5.4793
Slovenia	6.7464**	4.2079
Spain	−1.3867**	−3.7211
Sweden	2.8970**	7.3880
UK	2.8970**	7.3880
Panel DOLS	−1.7405**	−11.7789

Source: Authors’ estimation.

Note: Asymptotic distribution of t-statistic is standard normal as time (T) and countries (N) go to infinity.

^* 5% level of significance

^** 1% level of significance.

Table 4. Panel causality test results.

Panel causality	Short run		Long run
	∆SP	∆HP	∆SP	∆HP
∆SP	—	3.524**	—	6.436**
∆HP	0.0029	—	5.766**	—

Source: Authors’ estimation.

Note: All values are F-statistic for estimated error correction terms.

^** 1% level of significance. ∆, first difference.