On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity Reits Markets, and the Stock Market

Damianov, Damian S.; El-Sayed, Ahmed F.

doi:10.2139/ssrn.3825985

Cited by 3 publications

(6 citation statements)

References 10 publications

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“…It is known that stationary variables serve as the foundation for the AR-EGARCH model and the causality test. Following Damianov and Elsayed [41] and Lee et al [42], unit root tests such as KwiatKowski-Phillips-Schmidt-Shin (KPSS) test and Zivot and Andrews (ZA) test are employed in this study. e results of KPSS test indicate that the null hypothesis is not rejected.…”

Section: Resultsmentioning

confidence: 99%

Causality Tests and Their Applications to China’s Stock and Housing Markets

2022

Discrete Dynamics in Nature and Society

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The link between the stock market and the housing market is well known to be sensitive. At present, the possibility of a connection between them remains intriguing. Therefore, China works as a case study for the research inquiry into the causal relationship between the stock market and the housing market. Using the monthly data from January 2000 to January 2021 and employing the cross-correlation function approach to perform empirical analysis, the results indicate that the bidirectional causal relationship between the stock market and the housing market has been recognized as one of the most interesting findings, which constitutes a significant departure from previous research. Moreover, the other interesting result is that, from the housing market to the stock market, a causality-in-mean and a causality-in-variance are discovered. Only a tiny number of previous studies have addressed this achievement in the context of China. Meanwhile, this article’s findings have both theoretical and practical implications for China’s proposition.

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Section: Resultsmentioning

confidence: 99%

Causality Tests and Their Applications to China’s Stock and Housing Markets

2022

Discrete Dynamics in Nature and Society

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“…To analyze the nature and direction of spillovers, investors may be interested in measuring the time-varying evolution of spillovers in housing markets. Damianov and Elsayed (2018) applied the spillover index to investigate return spillovers across housing markets, the mortgage and equity real estate investment trust (REIT) markets, and stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Macroeconomic factors play a significant role in the intensity and directions of the volatility spillovers. We follow Damianov and Elsayed (2018) to analyze the spillovers and network connectedness in Korean regional markets, using the spillover index of Diebold and Yilmaz (2014), after accounting for macro variables. 5 Tables 3 and 4 present the spillover matrix in regional housing sales and rent markets by accounting for macro variables.…”

Section: [Insert Figures 3-4 Here]mentioning

confidence: 99%

“…A large body of literature has examined the extent of housing market co-movements in developed, emerging, and developing countries (e.g., Baur and Heaney, 2017;Damianov and Elsayed, 2018;Montagnoli and Nagayasu, 2015;Tsai, 2015). Nevertheless, little is known about the spillover (linkage, connectedness, and interdependence) effects among regional housing markets in Korea.…”

Section: Introductionmentioning

confidence: 99%

“…Is the relationship between driving factors and spillover asymmetric? These questions have theoretical and practical implications for a variety of market players, including investors, policymakers, market regulators, homeowners, and potential buyers (Damianov and Elsayed, 2018).…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Is the Korean housing market following Gangnam style?

Al‐Yahyaee

Mensi

Ko³

et al. 2020

Empir Econ

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Highlights This paper examines housing sales and rental market spillovers in Korean regional markets from 1991 to 2016. We employ the spillover index of Diebold and Yilmaz ( 2014) and the quantile regression approach. The 1997-1998 Asian currency crisis intensified regional spillovers in the Korean housing market. Gangnam region is a hub of connectedness, implying that it is the most influential shock transmitter among the regional housing markets. Macroeconomic factors impact the spillovers across regional housing sales and rental markets under different degree of spillovers.

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Comovements and spillovers in international commercial and residential real estate markets

Kishor

2022

JERER

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PurposeThis study aims to know to what extent do the commercial and residential estate markets move together in different economies? Do the shocks originating in one of these markets spillover to the other markets?Design/methodology/approachThe authors apply a modified version of the dynamic factor model to commercial and residential real estate prices in the Euro area, Hong Kong, Singapore and the USA. This modified dynamic factor model decomposes price growth in these two real estate markets into common, spillover and idiosyncratic components.FindingsThe results show significant heterogeneity in the relative importance of different components in the evolution of commercial and residential price growth across different economies. The findings suggest that the spillover from the residential to commercial real estate market dominates the spillover from the commercial to real estate market for all the economies in our sample. The authors also find that the common component accounts for a large fraction of the price movements in the residential markets in the European Union (EU) area and the USA, whereas spillover and common components together explain more than two-thirds of the variations in Hong Kong and Singapore. The results suggest that the role of spillover from one market to another increased significantly during the financial crisis of 2008–2009.Originality/valueThis paper contributes to the existing literature on how the transmission of shocks takes place across commercial and residential real estate markets. The transmission of shocks can take place in two directions in the proposed framework. There may be a direct spillover from a shock from one market to another. This corresponds to a shock to the idiosyncratic component affecting the other idiosyncratic component. In this paper, the authors are mainly interested in indirect spillover where the shock would transmit from the idiosyncratic factor to the common factor, and then from the common factor to the other idiosyncratic factor.

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On the Transmission of Spillover Risks between the Housing Market, the Mortgage and Equity Reits Markets, and the Stock Market

Cited by 3 publications

References 10 publications

Causality Tests and Their Applications to China’s Stock and Housing Markets

Causality Tests and Their Applications to China’s Stock and Housing Markets

Is the Korean housing market following Gangnam style?

Comovements and spillovers in international commercial and residential real estate markets

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