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The Causal Relationship Between Real Estate and Stock Markets
| Content Provider | Semantic Scholar |
|---|---|
| Author | Okunev, John Wilson, Patrick M. Zurbruegg, Ralf |
| Copyright Year | 2000 |
| Abstract | This paper examines the dynamic relationship that exists between the US real estate and S&P 500 stock markets between the years of 1972 to 1998. This is achieved by conducting both linear and nonlinear causality tests. The results from these tests provide a number of interesting observations which primarily show linear relationships to be spuriously affected by structural shifts which are inherent within the data. Linear test results generally show a uni-directional relationship to exist from the real estate market to the stock market. However, these results are not consistent with financial theory and for all sub-samples of the data. In contrast, the nonlinear causality test shows a strong unidirectional relationship running from the stock market to the real estate market, and is consistent in the presence of any structural breaks. |
| Starting Page | 251 |
| Ending Page | 261 |
| Page Count | 11 |
| File Format | PDF HTM / HTML |
| DOI | 10.1023/A:1012051719424 |
| Alternate Webpage(s) | http://wwwdocs.fce.unsw.edu.au/banking/workpap/wp3_00.pdf |
| Alternate Webpage(s) | http://banking.web.unsw.edu.au/workpap/wp3_00.pdf |
| Alternate Webpage(s) | https://doi.org/10.1023/A%3A1012051719424 |
| Volume Number | 21 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
