Wavelet Coherency Analysis of Stock Market Volatility and Housing costs: Insights from International Financial Hubs

Chaleun Vongmileuth (), Ulug Yeniley (), P. A. Mary Auxilia (), Hussein Moselhy Sayed Ahmed (), Wing-Keung Wong and Bisharat Hussain Chang
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Chaleun Vongmileuth: UQ Business School, The University of Queensland, St Lucia, QLD, Australia
Ulug Yeniley: NYU Stern School of Business, New York, NY, United States
P. A. Mary Auxilia: Loyola Institute of Business Administration, Chennai, Tamil Nadu, India
Hussein Moselhy Sayed Ahmed: College of Business, Department of Business Administration, University of Bisha, Bisha 61922, Saudi Arabia
Wing-Keung Wong: Department of Finance, Fintech & Blockchain Research Center, and Big Data Research Center, Asia University, Taiwan6Department of Medical Research, China Medical University Hospital, Taiwan7Business, Economic and Public Policy Research Centre, Hong Kong Shue Yan University, Hong Kong
Bisharat Hussain Chang: Department of Business Administration, Sukkur IBA University, Sukkur, Pakistan

Annals of Financial Economics (AFE), 2025, vol. 20, issue 01, 1-40

Abstract: This research studies the dynamic aspects of housing prices in the metropolises that are categorized by a significant degree of globalization. The degree of causality and co-movement between the macroeconomic uncertainty, stock, and housing market is assessed using the wavelet coherency technique. Moreover, the volatility spillover’s existence throughout the market of housing is examined in the domain of time-frequency by employing a recent technique that includes merging a time-varying parameter vector autoregression approach with wavelet decomposition. The findings indicate that the international business grouping in a restricted metropolis number that serves as “international hubs†abandons the domestic housing markets vulnerable to volatility spillover and global shocks. The empirical assessment proposed that the association between the stock market and real estate on the one side and ambiguity and real estate on the other side exaggerates throughout the time of disturbance. The co-movement and causality association turn up generally in the long and medium run periods. The indication imparted in the research proposes that policymakers cannot disregard the probability that global shocks to housing markets may influence the local markets. From this perspective, tools of macroprudential regulation may target dwindling off the accidental influence of housing market internationalization, for instance, the synchronization of housing price shock, specifically when these shocks arise in the cities that are also significant financial hubs.

Keywords: Energy poverty; housing affordability; household income; low-income high-cost (LIHC) framework; multivariate probit model (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1142/S2010495225500125

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