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- Title
Housing and Stock Market Returns: An Application of GARCH Enhanced VECM.
- Authors
Anoruo, Emmanuel; Braha, Habtu
- Abstract
This paper examines the relationship between housing and stock market returns for the United States using the cointegration analysis and the GARCH enhanced VECM. The results suggest that the two series are cointegrated. The results from the GARCH enhanced VECM indicate the presence of spillover effect from the stock market to the housing market but not vice versa. Taken together, the results provide evidence in support of the notion that the two markets are integrated rather than segmented. The findings of cointegration and spillover effect between the two series suggest that investors and portfolio managers cannot achieve risk reduction associated with diversification by jointly holding assets in real estate and stock markets.
- Subjects
UNITED States; RATE of return; HOUSING market; STOCK exchanges; ARCH model (Econometrics); COINTEGRATION
- Publication
ICFAI Journal of Financial Economics, 2008, Vol 6, Issue 2, p30
- ISSN
0972-9154
- Publication type
Article