Impact of Property Prices on Stock Prices in Hong Kong

Raymond Y. C. Tse
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Raymond Y. C. Tse: Department of Building & Real Estate, Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong, China

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2001, vol. 04, issue 01, 29-43

Abstract: This paper studies the extent to which real estate prices impact common stock prices in Hong Kong. Real estate-related firms account for over 30 percent of Hong Kong's stock market capitalization. The real estate markets are therefore major determinants of changes in common stock prices. This study, using data during the 1974-1998 period, not only supports empirically that both unexpected changes in residential and office property prices are important determinants of the change in stock prices for Hong Kong, it also finds that the property and stock price series are cointegrated. Impulse response function based on an error-correction VAR model is used to examine the dynamic relationships between real estate and common stock prices.

Keywords: Common stock; residential; office; impulse response; Hong Kong (search for similar items in EconPapers)
JEL-codes: G1 G2 G3 (search for similar items in EconPapers)
Date: 2001
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DOI: 10.1142/S0219091501000309

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