The investigation of the dynamic linkages between real estate market and stock market in Greece

被引：15

作者：

Gounopoulos, Dimitrios ^{[1
]}

Kosmidou, Kyriaki ^{[2
]}

Kousenidis, Dimitrios ^{[2
]}

Patsika, Victoria ^{[3
]}

机构：

[1] Univ Bath, Sch Management, Bath, Avon, England

[2] Aristotel Univ Thessaloniki, Dept Econ, Thessaloniki, Greece

[3] Univ Southampton, Southampton Business Sch, Southampton, Hants, England

来源：

EUROPEAN JOURNAL OF FINANCE | 2019年 / 25卷 / 07期

关键词：

House prices; stock market; linear cointegration; wealth - credit effect; ECONOMIC TIME-SERIES; HOUSE PRICES; INTEREST-RATES; TERM STRUCTURE; RETURNS; TESTS; COINTEGRATION; LIKELIHOOD; OWNERSHIP; WEALTH;

D O I：

10.1080/1351847X.2018.1532443

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We use quarterly data from Greece over the period 1997:1-2015:2 and investigate the dynamic linkages between the price of the real estate market and the price of the stock market focusing on two transmission mechanisms, namely the wealth and credit-price effects. The empirical analysis employs advanced methodological techniques and presents evidence supporting the existence of both the wealth effect and the credit effect in the long-run while in the short-run there is a one-way causal effect running from stock market towards house market. Results reveal asymmetric adjustment to equilibrium process and considerably stronger for positive deviations from the equilibrium.

引用

页码：647 / 669

页数：23

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