Wealth effect revisited: Novel evidence on long term co-memories between real estate and stock markets

Apostolos Kiohos, Vassilios Babalos and Athanasios Koulakiotis

Finance Research Letters, 2017, vol. 20, issue C, 217-222

Abstract: Employing an innovative ECM-ARFIMA methodology, we set out to explore the dynamic interdependence of stock and securitized real estate markets for two developed western economies that exhibit different characteristics. The empirical analysis ran from 2/1/1990 to 13/06/2014. Our results provide support to the ‘wealth effect’ and to the fractional integration process in both countries. It is clear that non-linear co-integration, co-memory, long-run and short-run adjustment dynamics are fundamental concepts in understanding market integration/segmentation. Our findings entail significant implications for policymakers, market regulators and investors.

Keywords: Wealth effect; Fractional integration; Real estate market; Stock market; Portfolio (search for similar items in EconPapers)
JEL-codes: C10 G15 G32 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:20:y:2017:i:c:p:217-222

DOI: 10.1016/j.frl.2016.10.002

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