scholarly journals The cause-and-effect relationships between the real estate market and the stock market in Poland

2020 ◽  
Vol 64 (8) ◽  
pp. 118-132
Author(s):  
Krzysztof Nowak
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Real Estate Market ◽  
Causality Test ◽  
The Real ◽  
The Real Estate ◽  
Cause And Effect ◽  
The Real Estate Market ◽  
The Mean ◽  
Transaction Price

The real estate market and the stock market are two elements of the financial market. The objective of the article is to verify if there can be established the cause-and-effect relationships between these two markets in Poland. In order to realise that goal the author verified if quotations of the WIG Real Estate index are affected by the mean transaction price of new apartments in 10 voivodeship cities, the number of apartments with the official permit to inhabit, as well as the value and number of new mortgage loans. The relationships between the WIG Real Estate and two main stock indexes quoted on the Warsaw Stock Exchange were also examined. Three Vector Auto-Regression models were formulated, and a Granger causality test was conducted. The study revealed that only lags of the number of apartments put into use did not affect the WIG Real Estate. Moreover, the time series of the mean transaction price of new apartments impacts most on the WIG Real Estate

Investor attention for retail and institutional investors: a test on the real estate market

2013 ◽  
Vol 31 (4) ◽  
pp. 314-328
Author(s):  
Gianluca Mattarocci ◽  
Georgios Siligardos
Keyword(s):  
Real Estate ◽  
Institutional Investors ◽  
Real Estate Market ◽  
Investor Attention ◽  
Causality Test ◽  
Content Type ◽  
The Real ◽  
The Real Estate ◽  
The Real Estate Market

PurposeThe paper aims to investigate the relationship between different investor attention proxies for different types of funds (retail vs institutional ones) looking at a sample of real estate funds.Design/methodology/approachThe authors collect data about searching frequency on Google and all the news published in Italian specialized newspapers for a set of real estate funds. Following the approach proposed by Da, Engelberg and Gao, the authors construct a set of attention proxies and they compare the ranking with some summary statistics and evaluate the causality relationship among them using a Granger causality test.FindingsResults demonstrate that online search frequency is relevant for both institutional and retail funds and normally internet data are able to anticipate the news that will be published in the newspapers.Research limitations/implicationsThe analysis proposed is focused only on a small real estate market (Italy) where funds are specialized for the type of investor. A wider database can allow excluding that results achieved are biased by the specific features of the market analysed.Practical implicationsThe role of internet proxies attention measures also for institutional investors demonstrate that the managing companies offering financial instruments reserved to institutional investors should consider both channels of information – newspapers and the internet – to measure any positive or negative sign of investor attention to their products.Originality/valueThe article represents the first analysis of investor attention proxies on the real estate market and the first comparison of investor attention proxies for retail and institutional investors.

scholarly journals Investigation of the Linkage among China’s Macroeconomy, Stock Market and Real Estate Market

2013 ◽  
Vol 2 (2) ◽  
pp. 1-7
Author(s):  
Guo Jianhua ◽  
Long Huidian
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Real Estate Market ◽  
The Real ◽  
The Real Estate ◽  
Equilibrium Relationship ◽  
The Real Estate Market ◽  
Securities Business

As two important constituents of China’s macro economy, there are a variety of relationships among China’s stock market, real estate market and its macro economy. In order to investigate these relationships, in this paper, especially with the Macroeconomic Boom Index reflecting China’s macro economy, we use cointegration theory and Granger analysis to demonstrate that there are long-term equilibrium relationship and bidirectional causality between the macro economy and the securities business, also between the macro economy and the real estate market, however, this kind of long-term Equilibrium relationship and bidirectional causality appears very weak.

scholarly journals Listing of Developer Companies as a Predictor of the Situation on the Residential Real Estate Market

2018 ◽  
Vol 26 (4) ◽  
pp. 12-21
Author(s):  
Rafal Wolski
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Housing Market ◽  
Stock Exchange ◽  
Real Estate Market ◽  
Residential Real Estate ◽  
The Real ◽  
The Real Estate ◽  
The Real Estate Market ◽  
Secondary Housing Market

Abstract The stock exchange is considered one of the most important financial institutions in the market economy. The stock market reacts to the state of the economy almost immediately, and, in the end, the quotations of companies affect the state of other markets. The author decided to look at companies from the WIG Real Estate index as important entities shaping the real estate market. When comparing the situation on the capital market with the situation on the residential real estate market, one could, building an appropriate model, conclude how much these markets interact. Purpose - The purpose of the article is to present the links between two important markets, the capital market, with real estate companies as its representatives, and the secondary housing market. In order to achieve the goal, a research hypothesis was formulated: the economic situation on the real estate companies market will be reflected in the situation on the secondary housing market. Design/methodology/approach - Cross-sectional regression analysis was used in the study. Using the data from the Warsaw Stock Exchange and the National Bank of Poland, regression models where price changes in the secondary housing market are explained by the quotations of real estate companies and selected stock exchange indices were built. The study was carried out from the first quarter of 2011 to the third quarter of 2017. Findings - Two models were built in which the rates of return on investments in real estate companies explain the price changes in the secondary housing market in a statistically significant way. Thus, the research hypothesis was positively verified, showing that the real estate market and the stock market of real estate companies are interrelated. Originality/Value - The alternative method of analyzing the real estate market can be considered as the original value of the presented results. A demonstration of the connections between both markets allows us to validate the methods used on the stock market to analyze the real estate market. An example application is the use of methods for estimating the cost of capital from the stock market in the real estate market.

scholarly journals Identification of Cause-and-Effect Relationships in the Real Estate Market Using the VAR Model and the Granger Test

2019 ◽  
Vol 27 (4) ◽  
pp. 85-95
Author(s):  
Radosław Cellmer ◽  
Mirosław Bełej ◽  
Aneta Cichulska
Keyword(s):  
Real Estate ◽  
Impulse Response ◽  
Linear Trend ◽  
Real Estate Market ◽  
Response Analysis ◽  
The Real ◽  
The Real Estate ◽  
Cause And Effect ◽  
The Real Estate Market ◽  
The Impact

Abstract The real estate market, as an open, complex and dynamic system, responds to changes in the environment of economic, legal or social conditions, although the pace and direction of these changes depends on the level of inertia of this system. At the same time, this market stimulates the market environment through prices. This study attempts to identify cause-and-effect relationships in the scope of the impact of selected economic and social indicators on prices of residential premises, as well as to identify the effects of price changes on these indicators. The time horizon of the study covered the years from 2008 to 2018. In the studies, to assess the stationarity of time series, an extended Dickey-Fuller test was used for the model with a free expression and linear trend, a vector autoregression model (VAR) was then constructed and Granger tests and impulse response analysis were performed using the Impulse Response Function (IRF). As a result, it was demonstrated that the response of real estate prices to the impulse from explanatory variables appears between the first and the fourth quarters, and expires after about three years.

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