Residential property price-stock price nexus in Hong Kong: new evidence from ARDL bounds test
Koon Nam Henry Lee
International Journal of Housing Markets and Analysis, 2017, vol. 10, issue 2, 204-220
Purpose - This study aims to investigate the cointegration and causality relationships between Hong Kong’s residential property price and stock price, using quarterly data, from the 1st quarter of 1980 to the 3rd quarter of 2015. Design/methodology/approach - In contrast to other studies, the cointegration test used is the autoregressive distributed lag (ARDL) cointegration (bounds testing) approach of Pesaran Findings - The results of ARDL cointegration tests running from stock to residential property markets provide strong evidence to support the hypothesis that the stock and residential properties are cointegrated. The results of Granger Research limitations/implications - The empirical results from cointegration and causality tests suggest that the residential asset returns are better predicted by including the lagged difference values of stock price. Originality/value - This is the pioneering study to examine the cointegration and causality study of stock and residential property price in Hong Kong by employing Pesaran ARDL cointegration approach and Granger non-causality approach. Investors are able to perform an effective evaluation to assist in allocating investment funds, and the government bodies can implement supplement housing policy in response to the public needs.
Keywords: Hong Kong; International housing markets; ARDL cointegration; Granger non-causality test; Residential property price; Stock price (search for similar items in EconPapers)
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