6,132
Views
12
CrossRef citations to date
0
Altmetric
Articles

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

&
Pages 1840-1849 | Received 05 Jan 2015, Accepted 28 Oct 2016, Published online: 06 Nov 2017

References

  • Ambrose, B. W., Ancel, E., & Griffiths, M. D. (1992). The fractal structure of real estate investment trust returns: The search for evidence of market segmentation and nonlinear dependency. Real Estate Economics, 20(1), 25–54. doi:10.1111/1540-6229.00571
  • Apergis, N., & Lambrinidis, L. (2007). More evidence on the relationship between the stock and real estate market. Journal of Social Science Research Network, 17, 24–50.
  • Bardhan, A., & Kroll, C. A. (2007). Globalization and the real estate industry: Issues, implications, opportunities ( Industry Studies Working Paper:2007-04. Retrieved June 28, 2014, from http://isapapers.pitt.edu/122/
  • Batayneh, K. I., & Al-Malki, A. M. (2015). The relationship between house prices and stock prices in Saudi Arabia: An empirical analysis. International Journal of Economics and Finance, 7(2), 156–167.
  • Brueggeman, W. B., Chen, A. H., & Thibodeau, T. G. (1984). Real estate investment funds: Performance and portfolio considerations. Real Estate Economics, 12(3), 333–354.10.1111/reec.1984.12.issue-3
  • Case, B., Goetzmann, W. N, & Rouwenhorst, K. G. (2000). Global real estate markets-cycles and fundamentals ( Working Paper Series (No. w7566), National bureau of economic research).
  • Chen, N. K. (2001). Asset price fluctuations in Taiwan: Evidence from stock and real estate prices 1973 to 1992. Journal of Asian Economics, 12(2), 215–232.10.1016/S1049-0078(01)00083-5
  • Chen, L. C., & Lee, W. H. (1998). On the dynamic relations among housing prices, stock prices and interest rate, evidence in Taiwan-simultaneous equations model and vector autoregression model. Journal of Financial Studies, 5(4), 51–62.
  • Chen, P.-F., Chien, M.-S., & Lee, C.-C. (2011). Dynamic modeling of regional house price diffusion in Taiwan. Journal of Housing Economics, 20(4), 315–332. doi:10.1016/j.jhe.2011.09.002
  • Darrat, A. F., & Glascock, J. L. (1989). Real estate returns, money and fiscal deficits: Is the real estate market efficient? The Journal of Real Estate Finance and Economics, 2(3), 197–208.10.1007/BF00152348
  • Eichholtz, P. M. A., Hoesli, M., MacGregor, B. D., & Nanthakumaran, N. (1995). Real estate portfolio diversification by property type and region. Journal of Property Finance, 6(3), 39–59.10.1108/09588689510101676
  • Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 55(2), 251–276.10.2307/1913236
  • Gounopoulos, D., Merikas, A. G., Merika, A. A., & Triantafyllou, A. (2012). Explaining house price changes in Greece. Applied Financial Economics, 22(7), 549–561. doi:10.1080/09603107.2011.619494
  • Graeme, N., & James, W. (1996). Assessing risk for international real estate investments. Journal of Real Estate Research, 11(2), 103–115.
  • Green, R. K. (2002). Stock prices and house prices in California: New evidence of a wealth effect? Regional Science and Urban Economics, 32(6), 775–783.10.1016/S0166-0462(01)00103-X
  • Hiang Liow, K. (2012). Co-movements and correlations across Asian securitized real estate and stock markets. Real Estate Economics, 40(1), 97–129.10.1111/reec.2012.40.issue-1
  • Hiang Liow, K. H. (2010). Integration between securitized real estate and stock markets: A global perspective. Journal of Real Estate Portfolio Management, 12(4), 249–278.10.1108/14630011011094685
  • Hoesli, M., Lekander, J., & Witkiewicz, W. (2004). International evidence on real estate as a portfolio diversifier. Journal of Real Estate Research, 26(2), 161–206.
  • Hui, E. C. M., Zuo, W., & Hu, L. (2011). Examining the relationship between real estate and stock markets in Hong Kong and the United Kingdom through datamining. International Journal of Strategic Property Management, 15(1), 26–34. doi:10.3846/1648715x.2011.565867
  • Ibbotson, R. G., & Siegel, L. B. (1984). Real estate returns: A comparison with other investments. Real Estate Economics, 12(3), 219–242.10.1111/reec.1984.12.issue-3
  • Im, K. S., Pesaran, M. H., & Shin, Y. (2003). Testing for unit roots in heterogeneous panels. Journal of Econometrics, 115(1), 53–74. doi:10.1016/S0304-4076(03)00092-7
  • Kallberg, J. G., Liu, C. H., & Pasquariello, P. (2014). On the price comovement of US residential real estate markets. Real Estate Economics, 42(1), 71–108.10.1111/reec.2014.42.issue-1
  • Kim, K. H. (1993). Housing prices, affordability, and government policy in Korea. The Journal of Real Estate Finance and Economics, 6(1), 55–71.10.1007/BF01098428
  • Lean, H. H., & Smyth, R. (2014). Dynamic interaction between house prices and stock prices in Malaysia. International Journal of Strategic Property Management, 18(2), 163–177.10.3846/1648715X.2014.925006
  • Levin, A., Lin, C. F., & Chu, C. S. J. (2002). Unit root tests in panel data: Asymptotic and finite-sample properties. Journal of Econometrics, 108, 1–24.10.1016/S0304-4076(01)00098-7
  • Li, Y., & Wang, K. (1995). The predictability of REIT returns and market segmentation. Journal of Real Estate Research, 10(4), 471–482.
  • Liao, W.-C., Zhao, D., Lim, L. P., Wong, G., & Wong, M. (2015). Foreign liquidity to real estate market: Ripple effect and housing price dynamics. Urban Studies, 52(1), 138–158.10.1177/0042098014523687
  • Lin, T. C., & Lin, Z. H. (2011). Are stock and real estate markets integrated? An empirical study of six Asian economies. Pacific-Basin Finance Journal, 19(5), 571–585.
  • Ling, D. C., & Naranjo, A. (1999). The integration of commercial real estate markets and stock markets. Real Estate Economics, 27(3), 483–515.10.1111/reec.1999.27.issue-3
  • Liow, K. H. (2006). Dynamic relationship between stock and property markets. Applied Financial Economics, 16(5), 371–376.10.1080/09603100500390885
  • Liu, Y. S., & Su, C. W. (2010). The relationship between the real estate and stock markets of China: Evidence from a nonlinear model. Applied Financial Economics, 20(22), 1741–1749.10.1080/09603107.2010.524616
  • Liu, C. H., Hartzell, D. J., Greig, W., & Grissom, T. V. (1990). The integration of the real estate market and the stock market: Some preliminary evidence. The Journal of Real Estate Finance and Economics, 3(3), 261–282.
  • McMillan, D. G. (2011). Long-run stock price-house price relation: Evidence from an ESTR model. Retrieved December 6, 2014, from https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1914424
  • Myer, F. C., & Webb, J. R. (1993). Return properties of equity REITs, common stocks, and commercial real estate: A comparison. Journal of Real Estate Research, 8(1), 87–106.
  • Nneji, O., Brooks, C., & Ward, C. W. R. (2013). House price dynamics and their reaction to macroeconomic changes. Economic Modelling, 32, 172–178. doi:10.1016/j.econmod.2013.02.007
  • Nyakabawo, W., Miller, S. M., Balcilar, M., Das, S., & Gupta, R. (2015). Temporal causality between house prices and output in the US: A bootstrap rolling-window approach. The North American Journal of Economics and Finance, 33, 55–73.10.1016/j.najef.2015.03.001
  • Oikarinen, E. (2004). The diffusion of housing price movements from center to surrounding areas. Journal of Housing Research, 15(1), 3–28.
  • Oikarinen, E. (2010). Foreign ownership of stocks and long-run interdependence between national housing and stock markets – evidence from finnish data. The Journal of Real Estate Finance and Economics, 41(4), 486–509. doi:10.1007/s11146-009-9175-1
  • Okunev, J., Wilson, P., & Zurbruegg, R. (2000). The causal relationship between real estate and stock markets. The Journal of Real Estate Finance and Economics, 21(3), 251–261.10.1023/A:1012051719424
  • Pedroni, P. (1999). Critical values for cointegration tests in heterogeneous panels with multiple regressors. Oxford Bulletin of Economics and Statistics, 61(S1), 653–670. doi:10.1111/1468-0084.0610s1653
  • Pedroni, P. (2000). Fully modified OLS for heterogenous cointegrated panels. Advances in Econometrics, 15, 93–130.
  • Pedroni, P. (2004). Panel cointegration: Asymptotic and finite sample properties of pooled time series tests with an application to the PPP hypothesis. Econometric Theory, 20(3), 597–625. doi:10.2307/3533533
  • Quan, D. C., & Titman, S. (1997). Commercial real estate prices and stock market returns: An international analysis. Financial Analysts Journal, 53(3), 21–34.10.2469/faj.v53.n3.2082
  • Quan, D. C., & Titman, S. (1999). Do real estate prices and stock prices move together? An international analysis. Real Estate Economics, 27(2), 183–207.10.1111/reec.1999.27.issue-2
  • Sim, S., & Chang, B. (2006). Stock and real estate markets in Korea: Wealth or credit-price effect. Journal of Economic Research-SEOUL, 11(1), 103–126.
  • Su, C.-W. (2011). Non-linear causality between the stock and real estate markets of Western European countries: Evidence from rank tests. Economic Modelling, 28(3), 845–851.10.1016/j.econmod.2010.10.021