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The European Journal of Finance Volume 25, 2019 - Issue 7: Financial Markets Innovation and Regulation A selection of papers presented at the 7th Financial Engineering and Banking Society (FEBS) International Meeting University of Strathclyde, Glasgow, Scotland, 1st-3rd June 2017
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Articles

The investigation of the dynamic linkages between real estate market and stock market in Greece

Dimitrios GounopoulosSchool of Management, University of Bath, Bath, UKCorrespondence[email protected]
,
Kyriaki KosmidouDepartment of Economics, Aristotel University of Thessaloniki, Thessaloniki, Greece
,
Dimitrios KousenidisDepartment of Economics, Aristotel University of Thessaloniki, Thessaloniki, Greece
&
Victoria PatsikaSouthampton Business School, University of Southampton, Southampton, UK
Pages 647-669 | Received 01 Oct 2017, Accepted 28 Aug 2018, Published online: 22 Oct 2018
 
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ABSTRACT

We use quarterly data from Greece over the period 1997:1–2015:2 and investigate the dynamic linkages between the price of the real estate market and the price of the stock market focusing on two transmission mechanisms, namely the wealth and credit-price effects. The empirical analysis employs advanced methodological techniques and presents evidence supporting the existence of both the wealth effect and the credit effect in the long-run while in the short-run there is a one-way causal effect running from stock market towards house market. Results reveal asymmetric adjustment to equilibrium process and considerably stronger for positive deviations from the equilibrium.

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