The Relationship Between Real Estate and Stock Markets：The Case of OECD
| Autor: | Chieh-wei Lin, 林玠薇 |
|---|---|
| Rok vydání: | 2010 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 98 The purpose of this study is to examine the relationship between stock and real estate prices for OECD countries covering the period from July 1992 to December 2009. Two theoretical views have been proposed in the literature to explain the relationship between stock and real estate prices. The first one is the well-known wealth effect, emphasizes a transmission from stock to housing, which claims that households with unanticipated gains in the stock market are likely to increase the amount of housing. Another theory proposed to interpret the relationship between stock and real estate prices is the so-called credit-price effect. This view emphasizes a rise in real estate prices can stimulate economic activity and bid up the equity value of the firm. In order to provide a persuasive evidence to this issue, a recently developed econometric technique known as panel cointegration test developed by Pedroni (1999) and panel Granger no-causality test proposed by Hurlin (2004, 2008) combined with time series and cross sections data is used to test the causality relationship between stock and real estate prices in OECD countries. Empirical results from panel cointegration tests indicate that exist no cointegration between stock and real estate prices. Hurlin’s (2004,2008) panel Granger no-causality tests provide robust evidence of bidirectional causality between stock and real estate prices. The wealth effect and credit-price effect is not held for OECD countries in this study. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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