Do Real Estate Prices and Stock Prices Move Together? An International Analysis

Quan, Daniel C.; Titman, Sheridan

doi:10.1111/1540-6229.00771

Cited by 229 publications

(147 citation statements)

References 9 publications

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“…Third, researchers in earlier, less-sophisticated studies concentrate on the relationship between real estate and stock markets through standard correlation analysis (Ibbotson and Siegel, 1984;Hartzell, 1986;Eichholtz and Hartzell, 1996;Worzala and Vandell, 1993;Quan and Titman, 1999). 5 Although correlations can provide information about co-movement of variables, it does not inform us about long-run relationships (i.e., cointegration) and/or the lead-lag relationships (Granger causality) between the markets.…”

mentioning

confidence: 99%

The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains

Chang

Miller

et al. 2015

International Review of Economics & Finance

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This study applies wavelet analysis to examine the relationship between the U.S. housing and stock markets over the period 1890-2012. Wavelet analysis allows the simultaneous examination of co-movement and causality between the two markets in both the time and frequency domains. Our findings provide robust evidence that co-movement and causality vary across frequencies and evolve over time. Examining market co-movement in the time domain, the two markets exhibit positive co-movement over recent decades, except for 1998-2002 when a high negative co-movement emerged. In the frequency domain, the two markets correlate with each other mainly at low frequencies (longer term), except in the second half of the 1900s as well as in 1998-2002, when the two markets correlate at high frequencies (shorter term). In addition, we find that the causal effects between the markets in the frequency domain occur generally at low frequencies (longer term). In the time-domain, the time-varying nature of long-run causalities implies structural changes in the two markets. These findings provide a more complete picture of the relationship between the U.S. real estate and stock markets over time and frequency, offering important implications for policymakers (and practitioners).

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mentioning

confidence: 99%

The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains

Chang

Miller

et al. 2015

International Review of Economics & Finance

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“…Liu and Mei (1992), Ambrose et al (1992), Ling and Naranjo (1999), Quan and Titman (1999) and Peng and Schulz (2013) found that the two markets are correlated while the results of Ibbotson and Siegel (1984), Miles et al (1990) and Liu et al (1990) suggest that the two markets are segmented and do not display significant long-term correlation.…”

Section: Introductionmentioning

confidence: 91%

The Impact of the Global Financial Crisis on the Co-Integration Relationship between Reit and Stock Markets: A Dynamic Co-Integration Approach

Yuksel

Yuksel²,

Erol³

et al. 2017

IJEF

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The aim of this paper is to analyze the impact of the Global Financial Crisis (GFC) on the co-integration relationship between the REIT and stock market indices using a sample of 10 developed countries. The main tool employed for this purpose is the dynamic co-integration approach. The empirical results strongly suggest that the stock and REIT markets were deeply affected by two successive crises. The first crisis was related to the U.S. subprime problems while the second shock emanated from the European insolvency problems. The shocks led to serious structural breaks in the financial data during the 2007-2012 period. As a result of this and the highly variable nature of the co-integration structure during this period, the conventional and static Johansen tests cannot detect the strong co-integration between the REIT and stock markets which were the result of common negative response of both markets to the successive shocks. Dynamic co-integration approach seems to be a more valid tool to capture the dynamics of the co-integration structure after the GFC. The dynamic approach implies that the destruction of diversification benefits between the REIT and stock markets was essentially a shock related outcome which also implies that the diversification potential between these two markets may still be valid in the absence of shocks.

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“…The only study performed jointly for developed and developing countries (Čeh Časni, Vizek, 2014) also arrives at the same conclusion, but emphasise that integration decreased substantially after 2008 financial meltdown. In contrast, alternative stream of literature finds little, if any, evidence of integration between real estate and stock markets (see Geltner, 1990;Liu et al 1990;Quan and Titman, 1999;and Wilson et al, 1996).…”

Section: Literature Reviewmentioning

confidence: 99%

Regime Switching Behaviour of Real Estate and Equity Prices in Emerging Countries

Njavro¹,

Posedel²,

Vizek³

2016

Prague Economic Papers

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The aim of this paper is to examine the interaction patterns between equity and real estate returns in 8 emerging economies from Central and Southeastern Europe. For that purpose we apply the TAR model entailing two regimes and endogenously determined threshold, delay parameter, and lag length. The results suggest that in all the countries, the interaction between equity and real estate returns is subject to regime switching in at least one direction. Equity returns in general seem to be much more sensitive to real estate returns changes, while the reaction of real estate returns to changes in equity returns is not always present and it is much more subdued and delayed. In the majority of the countries, the value of the threshold is large and negative suggesting that equity returns (real estate returns) react differently to large negative changes of real estate returns (equity returns) when compared to changes of different magnitudes and alternative signs. Equity returns react more strongly to large negative changes of the real estate returns than to small negative or positive real estate returns changes, while the reaction of the real estate returns to the equity returns changes varies across countries, making neither regime more prevalent.

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Do Real Estate Prices and Stock Prices Move Together? An International Analysis

Cited by 229 publications

References 9 publications

The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains

The co-movement and causality between the U.S. housing and stock markets in the time and frequency domains

The Impact of the Global Financial Crisis on the Co-Integration Relationship between Reit and Stock Markets: A Dynamic Co-Integration Approach

Regime Switching Behaviour of Real Estate and Equity Prices in Emerging Countries

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