 Relationship between the United States housing and stock markets: Some evidence from wavelet analysisKim Liow, Yuting Huang and Jeonseop Song The North American Journal of Economics and Finance, 2019, vol. 50, issue C Abstract: We revisit the relationship between the United States housing and stock markets in time-frequency domain. Earlier research does not have satisfactory results on the interactions between the two markets because traditional methods average different relationships in time domain only. Our novel and informative wavelet-based multi-resolution analyzes indicate that the US housing and stock markets are at best moderately integrated and with scale-dependent co-movement, connectivity and causality. The interplay between the US housing and stock markets is stronger in the long run, with the two asset markets being bilaterally causally linked and have stronger return and volatility transmission effects. Finally, we demonstrate that the decomposition of the relationship between the real estate and stock markets over the different scales has important implications in studying the optimal portfolio weight and the hedge ratio in risk management. Keywords: US housing and stock markets; Wavelets; Time-scales; Market integration; Wealth effect; Credit price effect (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:ecofin:v:50:y:2019:i:c:s106294081930035x DOI: 10.1016/j.najef.2019.101033 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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