Investigating the Links between UK House Prices and Share Prices with Copulas

Rakesh K. Bissoondeeal () and Leonidas Tsiaras
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Rakesh K. Bissoondeeal: Aston University

The Journal of Real Estate Finance and Economics, 2023, vol. 67, issue 3, No 4, 423-452

Abstract: Abstract We investigate the nonlinear links between the housing and stock markets in the UK using copulas. Our empirical analysis is conducted at both the national and regional levels. We also examine how closely London house prices are linked to those in other parts of the UK. We find that (i) the dependence between the different markets exhibits significant time-variation, (ii) at the national level, the relationship between house prices and the stock market is characterised by left tail dependence, i.e., they are more likely to crash, rather than boom, together, (iii) although left tail dependence with the stock market is a prominent feature of some regions, it is by no means a universally shared characteristic, (iv) the dependence between property prices in London and other parts of the UK displays widespread regional variations.

Keywords: Housing market; Stock market; Copulas; Regions (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11146-021-09854-0

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