 Portfolio diversification possibilities between the stock and housing markets in G7 countries: Evidence from the time-varying Granger causalityChien-Fu Chen and Shu-hen Chiang Finance Research Letters, 2022, vol. 49, issue C Abstract: Stock and housing assets are the most important forms of wealth held by households and firms and so how to reduce their portfolio risk is a major concern. However, modern financial markets are characterized by a significant degree of fluctuations. We therefore propose a new time-varying Granger causality model (Shi et al., 2020) to monitor a time-dependent relationship between stock and housing prices in G7 member countries over the 1970–2021 period. Although no evidence of causality, namely the two-market segmentation is found in the UK, unidirectional causality may reveal informational content from one market to the other in the cases of Canada, Italy Japan and the USA, while a bi-directional relationship points to perfect integration in France and Germany before the launch of the euro. To sum up, there is a large amount of evidence to prove that this new causal method can assist in the allocation of a dynamic portfolio over time. Keywords: Stock and housing markets; Portfolio diversification; Market integration; Time-varying granger causality (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003476 DOI: 10.1016/j.frl.2022.103124 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.