More Evidence on the Relationship between the Stock and the Real Estate Market

Nicholas Apergis () and Lampros Lamprinidis

MPRA Paper from University Library of Munich, Germany

Abstract: This study explores the relationship between the stock market and the real estate market. Through the methodologies of cointegration and the Error Correction modeling and data from both the US and the UK stock and the real estate markets over the period 1985 through 2006 the results display that the two markets are considered highly integrated. The empirical findings have implications for managing property assets fund managers, for the pricing efficiency within the real estate market, and for policy makers regarding economic safety.

Keywords: stock market; real estate market; cointegration and error correction modeling; US and UK market data (search for similar items in EconPapers)
JEL-codes: E00 E5 G11 G14 G15 (search for similar items in EconPapers)
Date: 2007-07-03, Revised 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:124596

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