Stock Price - Residential Property Price relations: Evidence from two Biggest Emerging Markets
Creators
- 1. City University of Hong Kong, Tat Chee Avenue, Kowloon Tong, Kowloon, Hong Kong, China
Description
Abstract: Using quarterly data, this study aims to investigate the cointegration and causality relationships between residential property price and stock price in two biggest emerging market economies, China, and India. The empirical results of Autoregressive distributed lagged (ARDL) cointegration tests running from stock price to property price and vice versa provide strong evidence to support the hypothesis that the stock price and property price are cointegrated. Hence, the results confirm the bilateral causal relationship between stock and property prices in China and India. The results of Granger (2000) non- causality tests provide evidence of wealth effect and credit price effect for China; however, the causality results support only the credit price effect in India.
Keywords: Emerging Markets, ARDL Cointegration, Wealth Effect, Credit Price Effect, Permanent Income Hypothesis