dc.contributor.author |
Aye, Goodness Chioma
|
|
dc.contributor.author |
Balcilar, Mehmet
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2014-07-16T07:54:52Z |
|
dc.date.available |
2014-07-16T07:54:52Z |
|
dc.date.issued |
2013 |
|
dc.description.abstract |
Tliis paper provides empirical evidence on the long- and short-run relationships between
real house and stock prices of South Africa. Standard linear tests may not detect the
existence of these relationships between time series especially in the presence of
structural shifts or regime changes, which, in turn, may cause nonlinearities in the
observed series. Thus, in this study, both linear and nonparametric cointegration and
Granger causality tests were conducted. Results from the linear cointegration test show^ed
no long-run relationship between house and stock prices. The linear Granger causality
test produced no evidence of causality either. In contrast, the nonparametric
cointegration test revealed a long-nm one-to-one relationship between the two series,
with the nonparametric Granger causality test indicating a bi-directional causality.
Therefore, stability in the housing market drives stability in the equity market and vice
versa. |
en_US |
dc.description.librarian |
am2014 |
en_US |
dc.description.uri |
http://business.fullerton.edu/finance/jhr/ |
en_US |
dc.identifier.citation |
Aye, GC, Balcilar, M & Gupta, R 2013, 'Long- and short-run relationships between house and stock prices in South Africa : a nonparametric approach', Journal of Housing Research, vol. 22, no. 2, pp. 203-219. |
en_US |
dc.identifier.issn |
1052-7001 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/40809 |
|
dc.language.iso |
en |
en_US |
dc.publisher |
American Real Estate Society |
en_US |
dc.rights |
American Real Estate Society |
en_US |
dc.subject |
Stock Prices |
en_US |
dc.subject |
Time series |
en_US |
dc.subject |
Evidence |
en_US |
dc.subject |
South Africa (SA) |
en_US |
dc.subject |
House prices |
en_US |
dc.title |
Long- and short-run relationships between house and stock prices in South Africa : a nonparametric approach |
en_US |
dc.type |
Article |
en_US |