The investigation of the dynamic linkages between real estate market and stock market in Greece
The investigation of the dynamic linkages between real estate market and stock market in Greece
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.
647-669
Gounopoulos, Dimitrios
804d4ac1-e8e3-4489-9508-f200dd77c755
Kosmidou, Kyriaki
8be4be3b-7eba-4b3d-975c-6280227178b1
Kousenidis, Dimitrios
76b10e78-093a-40eb-8eaa-419d59b6f60a
Patsika, Victoria
df2dcb8b-85e8-4461-8249-4f33512026c9
3 May 2019
Gounopoulos, Dimitrios
804d4ac1-e8e3-4489-9508-f200dd77c755
Kosmidou, Kyriaki
8be4be3b-7eba-4b3d-975c-6280227178b1
Kousenidis, Dimitrios
76b10e78-093a-40eb-8eaa-419d59b6f60a
Patsika, Victoria
df2dcb8b-85e8-4461-8249-4f33512026c9
Gounopoulos, Dimitrios, Kosmidou, Kyriaki, Kousenidis, Dimitrios and Patsika, Victoria
(2019)
The investigation of the dynamic linkages between real estate market and stock market in Greece.
European Journal of Finance, 25 (7), .
(doi:10.1080/1351847X.2018.1532443).
Abstract
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.
Text
Patsika et al Linkages between Real Estate Market and Stock Market in Greece
- Accepted Manuscript
More information
Accepted/In Press date: 28 August 2018
e-pub ahead of print date: 22 October 2018
Published date: 3 May 2019
Identifiers
Local EPrints ID: 425611
URI: http://eprints.soton.ac.uk/id/eprint/425611
ISSN: 1351-847X
PURE UUID: 4e14b374-d4cf-4485-a037-56b7209ebf04
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Date deposited: 26 Oct 2018 16:30
Last modified: 16 Mar 2024 07:12
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Contributors
Author:
Dimitrios Gounopoulos
Author:
Kyriaki Kosmidou
Author:
Dimitrios Kousenidis
Author:
Victoria Patsika
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