More Evidence on the Relationship between the Stock and the Real Estate Market

Apergis, Nicholas and Lamprinidis, Lampros (2007): More Evidence on the Relationship between the Stock and the Real Estate Market. Published in: Briefing in Economic Notes , Vol. 85, (September 2011): pp. 1-11.

Abstract

This study explores the relationship between the stock market and the real estate market. Through the methodologies of cointegration and the Error Correction modeling and data from both the US and the UK stock and the real estate markets over the period 1985 through 2006 the results display that the two markets are considered highly integrated. The empirical findings have implications for managing property assets fund managers, for the pricing efficiency within the real estate market, and for policy makers regarding economic safety.

• Item Type: MPRA Paper
• Language: English
• Keywords: stock market; real estate market; cointegration and error correction modeling; US and UK market data
• Subjects: E - Macroeconomics and Monetary Economics > E0 - General > E00 - General; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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