More Evidence on the Relationship between the Stock and the Real Estate Market
Briefing Notes in Economics, Vol. 85, September/October 2011
11 Pages Posted: 3 Jun 2007
Date Written: May 2007
This study explores the relationship between the stock market and the real estate market. Through the methodologies of cointegration and the Error Correction modeling and data from both the US and the UK stock and the real estate markets over the period 1985 through 2006 the results display that the two markets are considered highly integrated. The empirical findings have implications for managing property assets fund managers, for the pricing efficiency within the real estate market, and for policy makers regarding economic safety.
Keywords: stock market; real estate market; cointegration and error correction modeling; US and UK market data
JEL Classification: G1, C32
Suggested Citation: Suggested Citation