Dynamic information transfer in the United States housing and stock markets

I-Chun Tsai

The North American Journal of Economics and Finance, 2015, vol. 34, issue C, 215-230

Abstract: This study applies data from the housing market and stock market in the United States to evaluate the dynamic information transfer between the two markets. The results reveal that housing and stock prices do not have a long-term integral relationship, but exhibit a substantial short-term causal relationship. Therefore, the paper further evaluates the information transfer in the two markets. Results of this study show that the transmission mechanism of information among stock and real estate markets varies for different periods. In normal periods, the housing market transfers information to the stock market. However, during financial crisis, the stock market exhibits a net spillover of information. In addition, money supply affects information spillovers in the housing and stock markets, and the relationship between the two markets affects the treasury bill rate.

Keywords: Spillover; The stock market; The housing market; Information transmission (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:34:y:2015:i:c:p:215-230

DOI: 10.1016/j.najef.2015.09.012

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