Chang, TsangyaoLi, Xiao-linMiller, Stephen M.Balcilar, MehmetGupta, Rangan2015-07-212015-07-212015-07Chang, TY, Li, X-L, Miller, SM, Balcilar,M & Gupta, R 2015, 'The co-movement and causality between the US housing and stock markets in the time and frequency domains', International Review of Economics and Finance, vol. 38, pp. 220-233.1059-0560 (print)1873-8036 (online)10.1016/j.iref.2015.02.028http://hdl.handle.net/2263/49132This study applies wavelet analysis to examine the relationship between the U.S. housing and stockmarkets over the period 1890–2012.Wavelet analysis allows the simultaneous examination of co-movement and causality between the two markets in both the time and frequency domains. Our findings provide robust evidence that co-movement and causality vary across frequencies and evolve over time. Examining market co-movement in the time domain, the two markets exhibit positive co-movement over recent decades, except for 1998–2002 when a high negative comovement emerged. In the frequency domain, the two markets correlate with each othermainly at low frequencies (longer term), except in the second half of the 1900s as well as in 1998–2002, when the two markets correlate at high frequencies (shorter term). In addition, we find that the causal effects between the markets in the frequency domain occur generally at low frequencies (longer term). In the time-domain, the time-varying nature of long-run causalities implies structural changes in the two markets. These findings provide a more complete picture of the relationship between the U.S. real estate and stock markets over time and frequency, offering important implications for policymakers (and practitioners).en© 2015 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication International Review of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Economics and Finance, vol. 38, pp. 220-233, 2015. doi : 10.1016/j.iref.2015.02.028Stock marketHousing marketWavelet analysisFrequency domainTime domainPostprint Article