The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains
This study applies wavelet analysis to examine the relationship between the U.S. real estate and stock markets over the period 1890-2012. Wavelet analysis allows the simultaneous examination of co-movement and causality between the two markets in both the time and frequency domains. Our findings provide robust evidence that co-movement and causality vary across frequencies and evolve with time. Examining market co-movement in the time domain, the two markets exhibit positive co-movement over recent past decades, exception for 1998-2002 when a high negative co-movement emerged. In the frequency domain, the two markets correlate with each other mainly at low frequencies (longer term), except in the second half of the 1900s as well as in 1998-2002, when the two markets correlate at high frequencies (shorter term). In addition, we find that the causal effects between the markets in the frequency domain occur generally at low frequencies (longer term). In the time-domain, the time-varying nature of long-run causalities implies structural changes in the two markets. These findings provide a more complete picture of the relationship between the U.S. real estate and stock markets over time and frequency, offering important implications for policymakers and practitioners
Year of publication: |
2016
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Authors: | Chang, Tsangyao |
Other Persons: | Li, Xiao-Lin (contributor) ; Miller, Stephen M. (contributor) ; Balcilar, Mehmet (contributor) ; Gupta, Rangan (contributor) |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | USA | United States | Aktienmarkt | Stock market | Immobilienmarkt | Real estate market | Kausalanalyse | Causality analysis | Zeitreihenanalyse | Time series analysis |
Saved in:
freely available
Extent: | 1 Online-Ressource (34 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: International Review of Economics & Finance, July 2015 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 29, 2013 erstellt |
Other identifiers: | 10.2139/ssrn.2361527 [DOI] |
Classification: | C49 - Econometric and Statistical Methods: Special Topics. Other ; E44 - Financial Markets and the Macroeconomy ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013006954