Dynamics Between Housing and Stock Markets: International Evidence over 1870 to 2015

被引:0
作者
Lin, Pin-Te [1 ]
Stankov, Ivelin [1 ]
机构
[1] Univ Reading, Henley Business Sch, Real Estate & Planning, Reading, England
关键词
Housing markets; stock markets; integration; lead-lag relationship; REAL-ESTATE MARKETS; INTEGRATION; PRICES; WEALTH; LINKAGES; PROPERTY; RETURN; TIME; RISK;
D O I
10.1080/08965803.2024.2442226
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This research investigates the dynamic relationship between housing and stock markets across nine countries. Using total return indices from 1870 to 2015, empirical results around the globe consistently show that stock and housing markets are linearly segmented, with fractional integration found in Denmark and the US. A positive lead-lag relationship from stock to housing is observed for most countries, offering support for the wealth effect theory. The results have important implications for portfolio diversification strategy and government policy.
引用
收藏
页数:17
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