scholarly journals Investigating the Links between UK House Prices and Share Prices with Copulas

2021 ◽  
Author(s):  
Rakesh K. Bissoondeeal ◽  
Leonidas Tsiaras
Keyword(s):  
Stock Market ◽  
House Prices ◽  
National Level ◽  
Tail Dependence ◽  
Share Prices ◽  
Property Prices ◽  
Left Tail ◽  
The Uk ◽  
The Relationship ◽  
Shared Characteristic

AbstractWe investigate the nonlinear links between the housing and stock markets in the UK using copulas. Our empirical analysis is conducted at both the national and regional levels. We also examine how closely London house prices are linked to those in other parts of the UK. We find that (i) the dependence between the different markets exhibits significant time-variation, (ii) at the national level, the relationship between house prices and the stock market is characterised by left tail dependence, i.e., they are more likely to crash, rather than boom, together, (iii) although left tail dependence with the stock market is a prominent feature of some regions, it is by no means a universally shared characteristic, (iv) the dependence between property prices in London and other parts of the UK displays widespread regional variations.

scholarly journals Effect Of Macroeconomic Variables On Stock Market Returns For Four Emerging Economies: Brazil, Russia, India, And China

2011 ◽  
Vol 7 (3) ◽  
Author(s):  
Robert D. Gay, Jr.
Keyword(s):  
Stock Market ◽  
Emerging Economies ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Macroeconomic Variables ◽  
Share Prices ◽  
Market Index ◽  
The Relationship ◽  
India And China

The relationship between share prices and macroeconomic variables is well documented for the United States and other major economies. However, what is the relationship between share prices and economic activity in emerging economies? The goal of this study is to investigate the time-series relationship between stock market index prices and the macroeconomic variables of exchange rate and oil price for Brazil, Russia, India, and China (BRIC) using the Box-Jenkins ARIMA model. Although no significant relationship was found between respective exchange rate and oil price on the stock market index prices of either BRIC country, this may be due to the influence other domestic and international macroeconomic factors on stock market returns, warranting further research. Also, there was no significant relationship found between present and past stock market returns, suggesting the markets of Brazil, Russia, India, and China exhibit the weak-form of market efficiency.

Consumption and Housing Wealth in the UK

2003 ◽  
Vol 186 ◽  
pp. 53-56 ◽  
Author(s):  
Ray Barrell ◽  
Amanda Choy ◽  
Rebecca Riley
Keyword(s):  
Housing Market ◽  
Asset Prices ◽  
House Prices ◽  
Pension Funds ◽  
Housing Wealth ◽  
The Past ◽  
Equilibrium Ratio ◽  
Net Assets ◽  
The Uk ◽  
The Relationship

Consumption behaviour in the UK is frequently seen as different from that in other countries. The relationship between the housing market and consumption is discussed at length in HM Treasury (2003). The housing market, which has been particularly cyclically volatile in the past 30 years, has contributed to cycles in consumption through its impact on housing wealth. Increased house prices increase the value of assets held, and impact on consumption, making the economy more cyclical. There is a clear relationship between the level of real financial plus housing net wealth as a proportion of income and the savings ratio (excluding adjustment for changes in net equity of households in pension funds), as can be seen from chart 1, where we plot the stock of total net assets over the flow of income to indicate just how much ‘cover’ the personal sector has on its current commitments. When wealth rises, for instance because real asset prices have risen, then individuals find themselves with more assets than they need and increase their consumption in order to return their assets to their equilibrium ratio to income. Clearly this process is not instantaneous, but cycles in wealth driven by house prices could have contributed to the cyclical nature of overall demand in the UK in the past 30 years.

Forward-looking financial risk management and the housing market in the United Kingdom: is there a role for sentiment indicators?

2020 ◽  
Vol 21 (5) ◽  
pp. 659-678
Author(s):  
Frederik Kunze ◽  
Tobias Basse ◽  
Miguel Rodriguez Gonzalez ◽  
Günter Vornholz
Keyword(s):  
Time Series ◽  
Housing Market ◽  
House Prices ◽  
Market Survey ◽  
Content Type ◽  
Time Series Econometrics ◽  
Property Prices ◽  
The Uk ◽  
Toda And Yamamoto ◽  
Forward Looking

Purpose In the current low-interest market environment, more and more asset managers have started to consider to invest in property markets. To implement adequate and forward-looking risk management procedures, this market should be analyzed in more detail. Therefore, this study aims to examine the housing market data from the UK. More specifically, sentiment data and house prices are examined, using techniques of time-series econometrics suggested by Toda and Yamamoto (1995). The monthly data used in this study is the RICS Housing Market Survey and the Nationwide House Price Index – covering the period from January 2000 to December 2018. Furthermore, the authors also analyze the stability of the implemented Granger causality tests. In sum, the authors found clear empirical evidence for unidirectional Granger causality from sentiment indicator to the house prices index. Consequently, the sentiment indicator can help to forecast property prices in the UK. Design/methodology/approach By investigating sentiment data for house prices using techniques of time-series econometrics (more specifically the procedure suggested by Toda and Yamamoto, 1995), the research question whether sentiment indicators can be helpful to predict property prices in the UK is analyzed empirically. Findings The empirical results show that the RICS Housing Market Survey can help to predict the house prices in the UK. Practical implications Given these findings, the information provided by property market sentiment indicators certainly should be used in a forward-looking early warning system for house prices in the UK. Originality/value To authors’ knowledge, this is the first paper that uses the procedure suggested by Toda and Yamaoto to search for suitable early warning indicators for investors in UK real estate assets.

The Macro Economic Factors affecting Property Prices in Malta

2018 ◽  
Vol 2 (1) ◽  
pp. 4-27
Author(s):  
Luke Vella
Keyword(s):  
Unemployment Rate ◽  
House Prices ◽  
Standard Of Living ◽  
Ageing Population ◽  
Upward Trend ◽  
Factors Affecting ◽  
Property Prices ◽  
Property Price ◽  
Growing Economy ◽  
The Relationship

Property prices have been on top of European governments’ agenda for decades as their contribution towards the whole economic system is imperative. Property prices in Malta have been on an upward trend and, lately, the upward trend has been larger than in previous years. Even though this is a sign of a strong and growing economy, it can have implications on residents due to affordability issues affecting their standard of living. This study seeks to determine the factors which have an influence on property price in Malta whilst also analysing the strength of the relationship each factor holds on house prices. This study examines the Gross Domestic Product, unemployment rate, population, inflation, the number of home loans within the Maltese economy, ageing population, the number of tourists, minimum wage, and development permits. Out of these nine variables tested, eight proved to be statistically significant. The variables which had the largest effect on house prices was the unemployment rate whilst the variable with the least effect on house prices was inflation.

Impacts of airport traffic volumes on house prices of New Zealand’s major regions: A panel data approach

Urban Studies ◽  
2016 ◽  
Vol 54 (12) ◽  
pp. 2800-2817 ◽  
Author(s):  
Wai Hong Kan Tsui ◽  
David Tat Wei Tan ◽  
Song Shi
Keyword(s):  
Panel Data ◽  
Least Squares ◽  
Economic Activity ◽  
House Prices ◽  
Air Travel ◽  
Body Of Knowledge ◽  
Property Prices ◽  
Traffic Volumes ◽  
The Relationship

The direction and mechanisms of the relationship between airport traffic volumes and property prices are somewhat unclear in the literature. This study adds to that body of knowledge by empirically investigating the role of airports as an essential driver of economic activity by creating employment and facilitating air travel between destinations. The two-stage least-squares (2SLS) approach is employed to investigate the link between house prices and the airport traffic volumes of New Zealand’s three key regions and airports (Auckland, Canterbury/Christchurch and Wellington) from July 2004 to December 2014. The empirical findings of the study suggest that airport traffic volumes positively and significantly influence the urban house prices of New Zealand’s three major regions.

scholarly journals An Empirical Investigation on the Relationship Between the Eurozone Zew Index and the Eurozone Stock Markets

2021 ◽  
Vol 31 (4) ◽  
pp. 1-17
Author(s):  
Nesrin Ceylan ◽  
Turgay Münyas
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Short Term ◽  
Monthly Data ◽  
Research Findings ◽  
Independent Variable ◽  
The Uk ◽  
Conclusion Section ◽  
The Relationship

Abstract The aim of this study is to investigate the long and short term impact of the Euro ZEW index (ZEW) on the DAX (GDAXI) Germany, FTSE 100 (FTSE) the UK, CAC 40 (FCHI) France, OMXS30 Sweden and CROBEX (CRBEX) Croatia stock market indices using monthly data for the period between February 2008 and December 2020. The Euro ZEW Index was taken as the independent variable, and the index values of Eurozone stock markets were taken as the dependent variables. As a result of the study, the Euro ZEW index was found to have a positive (increasing) statistical significant effect on the DAX, FTSE, OMXS and CRBEX variables. Of the stock markets studied, Croatia CROBEX (CRBEX) index was the most affected index by the change in the Euro ZEW index. The least affected stock market was Germany DAX (GDAXI) index. The effect of the Euro ZEW Index on Euro stock markets was higher in the short-term, and gradually decreasing in the long term. The research findings are discussed in the conclusion section.

scholarly journals International Real Estate Review

2020 ◽  
Vol 23 (3) ◽  
pp. 397-416
Author(s):  
William Miles ◽  
Keyword(s):  
House Prices ◽  
Data Set ◽  
Nonlinear Adjustment ◽  
Stable Relationship ◽  
Home Prices ◽  
Long Run ◽  
Income Ratio ◽  
The Uk ◽  
First Time ◽  
The Relationship

Asset prices and fundamentals can move apart, as is the case during bubble episodes. However, they should exhibit a stable relationship in the long run. For UK housing, previous studies have investigated whether house prices share a long run relationship with income. Results thus far have not yet found such stability in the interaction of the two variables. These previous papers have imposed linear adjustment on the relationship. Nonlinear adjustment, however, has been shown to be a feature in a number of housing market relationships. In this study, we utilize a data set that consists of home prices relative to first time buyer income for the UK and its twelve constituent regions, which gives us a direct measure of affordability. We test for the stationarity of the home price/first time buyer income ratio with linear tests, and, as in past studies, fail to find a long run relationship. However, we then employ a nonlinear test, and find a stationary relationship for the UK and seven of the twelve regions. In particular, the regions closest to London appear most clearly to have a stationary relationship between home prices and income.

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