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Housing and stock market nexus in the US

Lin, Feng-Li; Wang, Mei-Chih; Kung, Hsien-Hung - In: European research studies 23 (2020) 3, pp. 114-130

Persistent link: https://www.econbiz.de/10012286922

The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains

Chang, Tsangyao - 2016

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...

Persistent link: https://www.econbiz.de/10013006954

Time-scale relationship between securitized real estate and local stock markets : some wavelet evidence

Liow, Kim Hiang; Zhou, Xiaoxia; Li, Qiang; Huang, Yuting - In: Journal of risk and financial management : JRFM 12 (2019) 1/16, pp. 1-23

relationship between the two asset markets is time–frequency varying. The average long run real estate–stock correlation fails to … outweigh the average short run correlation, indicating the real estate markets examined may have become increasingly less …

Persistent link: https://www.econbiz.de/10011961522

The co-movement and causality between the US real estate and stock markets in the time and frequency domains

Chang, Tsangyao; Li, Xiao-Lin; Miller, Stephen M.; … - 2013

Persistent link: https://www.econbiz.de/10010344588

The comovment between money and economic growth in 15 Asia-Pacific countries : wavelet coherency analysis in time-frequency domain

Tsai, Su-Ling; Chang, Tsangyao - In: Romanian journal of economic forecasting 21 (2018) 2, pp. 63-79

Persistent link: https://www.econbiz.de/10012020116

A dynamic model for housing price spillovers with an evidence from the US and the UK markets

Ozun, Alper; Ertugrul, Hasan Murat; Coskun, Yener - In: Journal of capital markets studies 2 (2018) 1, pp. 70-81

empirical method also investigates dynamic correlation between the house prices by employing the dynamic control correlation … the empirical side, the results show that country-level causality in housing prices is running from the USA to UK, whereas … that the dynamic conditional correlation between the US and the UK housing prices is broken during the crisis period. The …

Persistent link: https://www.econbiz.de/10012063547

Zhu, Bing - 2013

This paper models the correlated shocks across regional housing markets and the spillover effects in time-varying housing price volatilities. We explore two kinds of diffusion channels: geographic closeness and economic similarity. Our empirical investigation is based on the Case-Shiller housing...

Persistent link: https://www.econbiz.de/10013095647

Comovement across BRICS and the US stock markets : a multitime scale wavelet analysis

Batondo, Musumba; Uwilingiye, Josine - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-21

During the past two decades, financial markets across the globe have experienced sporadic waves of crashes. Such waves raise concerns about the vulnerability of global financial markets and the transmission mechanisms of shocks beyond borders. The current study examines the co-movement of stock...

Persistent link: https://www.econbiz.de/10013252768

The comovements of tail risks in time and frequency domains : evidence from US and emerging Asian stock markets

Baba, Boubekeur - In: Future Business Journal 10 (2024) 1, pp. 1-20

The study applies the wavelet local multiple correlations to investigate the level of comovements among the tail risks of US and emerging Asian stock markets in both time and frequency domains. Through this empirical investigation, we address the question of how the transmission of tail risk...

Persistent link: https://www.econbiz.de/10015411007

Actual and expected inflation in the U.S. : a time-frequency view

Xu, Yingying; Liu, Zhixin; Ortiz, Jaime - In: Romanian journal of economic forecasting 21 (2018) 1, pp. 42-62

Persistent link: https://www.econbiz.de/10012019816