Original scientific paper
https://doi.org/10.1080/1331677X.2017.1392882
Do house prices influence stock prices? Empirical investigation from the panel of selected European Union countries
Ghulam Ali
; Department of Commerce, University of Gujrat, Gujrat, Pakistan
Khalid Zaman
; Department of Economics, Abbottabad University of Science & Technology, Havelian Campus, Abbottabad, Pakistan
Abstract
This study examines the long-run and causal relationship between
house prices and stock prices in the panel of 22 European Union (EU)
countries, covering the monthly data from January 2007 to October
2012. The results show that house prices and stock prices variables
are stationary at their first difference, and Pedroni’s heterogeneous
cointegration test does not confirmed the long-run relationship
between the two variables; hence, it is imperative to employed
dynamic OLS estimator for robust statistical inference. The results
of dynamic OLS (DOLS) reveal that, among 22 countries, there are
five countries which show the negative association between house
prices and stock prices, while except France and Italy, the remaining
15 countries show the positive relationship between the variables.
There is no significant relationship observed in the case of France and
Italy. The panel results confirmed the negative impact of house prices
on stock prices in the region. The results of panel causality confirmed
the stock led house prices in the short-run, while the causality runs in
both directions between the variables in the long-run.
Keywords
House Prices; Stock Prices; Dynamic OLS; EU Countries
Hrčak ID:
193286
URI
Publication date:
1.12.2017.
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