Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets

Yuki Toyoshima ()

JRFM, 2018, vol. 11, issue 2, 1-10

Abstract: This paper employs the two-step procedure to analyze the causality-in-mean and causality-in-variance between the housing and stock markets of the UK. The empirical findings make two key contributions. First, although previous studies have indicated a one-way causal relation from the housing market to the stock market in the UK, this paper discovered a two-way causal relation between them. Second, a causality-in-variance as well as a causality-in-mean was detected from the housing market to the stock market.

Keywords: causality-in-variance; cross-correlation function; housing and stock markets (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:21-:d:143280

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