Dynamic Relationship between Housing and Stock Markets: International Evidence over 1870 to 2015

Pin-Te Lin and Ivelin Stankov

ERES from European Real Estate Society (ERES)

Abstract: This research investigates integration between housing and stock markets across 11 countries. Using total return indices over 1870 to 2015, results around the globe consistently show that stock and housing markets are integrated with a bilateral causal relationship. Our results have important implications for portfolio diversification strategy and capital-switching effect hypothesis.

Keywords: Causality; housing; Integration; Stock (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2023-01-01
New Economics Papers: this item is included in nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2023_291

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