Title: Are Asian stock and house prices integrated or segmented?

Authors: Habib Ur Rahman; Ghulam Ali Bhatti; Safdar Ullah Khan; Emmanuel S. Aidoo

Addresses: Holmes Institute, Gold Coast, Australia; Bond University, Gold Coast, Queensland, Australia ' Noon Business School, University of Sargodha, Sargodha, Pakistan ' Bond Business School, Bond University, Gold Coast, QLD 4229, Australia ' Spears School of Business, Oklahoma State University, Stillwater, Oklahoma 74078-4011, USA

Abstract: This study aims to examine the interdependence of stock and house prices. For this purpose, we use quarterly data from 2008-Q1 to 2013-Q4. Seven economies are selected for this empirical investigation: Indonesia, Malaysia, Philippines, Singapore, Thailand [ASEAN-5], Korea and Hong Kong. We apply Pedroni panel cointegration and dynamic ordinary least square (DOLS) to analyse the association between Asian house and stock prices. Applying time series and panel estimation simultaneously, our results suggest a positive and significant effect of stock prices on house prices except for Korea, where we found a negative relationship. More directly, stock markets are integrated with real estate markets in all selected economies except Korea. Further, the positive effects of house prices on stock prices are in support of the wealth effect hypothesis, which indicates that house prices have a positive contribution to the uplift of stock prices. Examining the timing of market changes, we found the real estate market leads the stock market in the panel analysis. Electronic finance, multiple listing databases and internet play a significant role in this interaction.

Keywords: house price; stock price; DOLS; ASIAN countries; wealth effect; credit effect; alternative investments; ASEAN-5; cointegration; Granger causality.

DOI: 10.1504/IJEF.2020.110297

International Journal of Electronic Finance, 2020 Vol.10 No.1/2, pp.79 - 92

Received: 15 Feb 2019
Accepted: 11 Mar 2020

Published online: 05 Oct 2020 *

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