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

See all articles by Nicholas Apergis

Nicholas Apergis

University of Piraeus; University of Derby

Lambros Lambrinidis

University of Piraeus

Date Written: May 2007

Abstract

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

Apergis, Nicholas and Lambrinidis, Lambros, More Evidence on the Relationship between the Stock and the Real Estate Market (May 2007). Briefing Notes in Economics, Vol. 85, September/October 2011, Available at SSRN: https://ssrn.com/abstract=989959

Nicholas Apergis (Contact Author)

University of Piraeus ( email )

Karaoli and Dimitriou 80
80 KARAOLI & DIMITRIOU STREET
Piraeus, Attiki 18534
Greece

University of Derby ( email )

Kedleston Road
Derby, Derbyshire DE22 1GB
United Kingdom

Lambros Lambrinidis

University of Piraeus ( email )

Karaoli and Dimitriou 80
80 KARAOLI & DIMITRIOU STREET
Piraeus, Attiki 18534
Greece

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