miun.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
The nexus between stock market index and apartment and villa prices: Granger causality test of Swedish data
Mid Sweden University, Faculty of Human Sciences, Department of Business, Economics and Law.
Mid Sweden University, Faculty of Human Sciences, Department of Business, Economics and Law.
2017 (English)In: International Journal of Housing Markets and Analysis, ISSN 1753-8270, E-ISSN 1753-8289, Vol. 10, no 3, 450-467 p.Article in journal (Refereed) Published
Abstract [en]

Purpose: The purpose of this study is to investigate the Granger causal link between the stock market index and housing prices in terms of apartment and villa prices. Design/methodology/approach: Monthly data from September 2005 to October 2013 on apartment prices, villa prices, the stock market index, mortgage rates and the consumer price index were used. Statistical methods were applied to explore the long-run co-integration and Granger causal link between the stock market index and apartment and villa prices in Sweden. Findings: The results indicate that the stock market index and housing prices are co-integrated and that a long-run equilibrium relationship exists between them. According to the Granger causality tests, bidirectional relationships exist between the stock market index and apartment and villa prices, respectively, supporting the wealth and credit-price effects. Moreover, variations in apartment and villa prices are primarily caused by endogenous shocks. Originality/value: To the authors’ best knowledge, this study represents a first analysis of the causal nexus between the stock market and the housing market in terms of apartment and villa prices in the Swedish context using a vector error-correction model to analyze monthly data.

Place, publisher, year, edition, pages
2017. Vol. 10, no 3, 450-467 p.
Keyword [en]
Granger causality tests, Housing prices, Prices of apartments, Prices of villas, Stock market index, Vector error-correction model
National Category
Social Sciences
Identifiers
URN: urn:nbn:se:miun:diva-31369DOI: 10.1108/IJHMA-09-2016-0069ISI: 000404785900008Scopus ID: 2-s2.0-85020501192OAI: oai:DiVA.org:miun-31369DiVA: diva2:1130624
Available from: 2017-08-10 Created: 2017-08-10 Last updated: 2017-08-10Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full textScopus

Search in DiVA

By author/editor
Öhman, PeterYazdanfar, Darush
By organisation
Department of Business, Economics and Law
In the same journal
International Journal of Housing Markets and Analysis
Social Sciences

Search outside of DiVA

GoogleGoogle Scholar

Altmetric score

Total: 51 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf