The Investigation of the Dynamic Linkages between Real Estate Market and Stock Market in Greece

European Journal of Finance, Forthcoming

42 Pages Posted: 8 Dec 2017 Last revised: 21 Jan 2020

See all articles by Dimitrios Gounopoulos

Dimitrios Gounopoulos

University of Bath

Kyriaki Kosmidou

Aristotle University of Thessaloniki - Department of Economics

Dimitrios V Kousenidis

Aristotle University of Thessaloniki

Victoria Patsika

Cardiff University

Date Written: September 16, 2018

Abstract

We use quarterly data from Greece 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.

Keywords: house prices, stock market, linear cointegration, wealth credit effect

JEL Classification: G15, G32, C10

Suggested Citation

Gounopoulos, Dimitrios and Kosmidou, Kyriaki and Kousenidis, Dimitrios V and Patsika, Victoria, The Investigation of the Dynamic Linkages between Real Estate Market and Stock Market in Greece (September 16, 2018). European Journal of Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3084317 or http://dx.doi.org/10.2139/ssrn.3084317

Dimitrios Gounopoulos (Contact Author)

University of Bath ( email )

School of Management,
Wessex House, Claverton Down
Bath, BA2 7AY
United Kingdom

Kyriaki Kosmidou

Aristotle University of Thessaloniki - Department of Economics ( email )

Thessaloniki, 54006
Greece

Dimitrios V Kousenidis

Aristotle University of Thessaloniki ( email )

School of Economics and Political Sciences
Department of Economics
Thessaloniki, 54124
Greece

Victoria Patsika

Cardiff University ( email )

Aberconway Building
Colum Drive
Cardiff, Wales CF10 3EU
United Kingdom

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