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

Economic research - Ekonomska istraživanja, 2017, Vol.30 (1), p.1840-1849

2017 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group 2017 ;2017 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group ;2017 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. This work is licensed under the Creative Commons Attribution License http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. ;ISSN: 1331-677X ;EISSN: 1848-9664 ;DOI: 10.1080/1331677X.2017.1392882

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  • Title:
    Do house prices influence stock prices? Empirical investigation from the panel of selected European Union countries
  • Author: Ali, Ghulam ; Zaman, Khalid
  • Subjects: Causality ; Cointegration analysis ; Dynamic OLS ; Economic models ; Economic theory ; EU Countries ; House Prices ; Housing prices ; Prices ; Statistical inference ; Stock Prices ; Variables
  • Is Part Of: Economic research - Ekonomska istraživanja, 2017, Vol.30 (1), p.1840-1849
  • Description: This study examines the long-run and causal relationship between house prices and stock prices in the panel of 22 European Union (EU) countries, covering the monthly data from January 2007 to October 2012. The results show that house prices and stock prices variables are stationary at their first difference, and Pedroni's heterogeneous cointegration test does not confirmed the long-run relationship between the two variables; hence, it is imperative to employed dynamic OLS estimator for robust statistical inference. The results of dynamic OLS (DOLS) reveal that, among 22 countries, there are five countries which show the negative association between house prices and stock prices, while except France and Italy, the remaining 15 countries show the positive relationship between the variables. There is no significant relationship observed in the case of France and Italy. The panel results confirmed the negative impact of house prices on stock prices in the region. The results of panel causality confirmed the stock led house prices in the short-run, while the causality runs in both directions between the variables in the long-run.
  • Publisher: Pula: Routledge
  • Language: English
  • Identifier: ISSN: 1331-677X
    EISSN: 1848-9664
    DOI: 10.1080/1331677X.2017.1392882
  • Source: Taylor & Francis Open Access
    ProQuest Central
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