Nonlinear causality relationship between stock and real-estate returns in PIGS countries: wealth effect or credit-price effect

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題名:	Nonlinear causality relationship between stock and real-estate returns in PIGS countries: wealth effect or credit-price effect
作者:	Lou, TW (Lou, Tienwei)
貢獻者:	財金系
關鍵詞:	Stock return real-estate return wealth effect credit-price effect quantile causality regression C22 O16 O52
日期:	2017-06
上傳時間:	2017-06-08 09:27:28 (UTC+8)
摘要:	It is the first research to investigate for nonlinear interdependence of these two markets in the PIGS (Portugal, Italy, Greece and Spain) countries based on the quantile causality test. The results reveal the existence of the nonlinear causality relationship between the stock returns and real-estate returns in the PIGS countries.The empirical results of the quantile causality test suggest a significant causal relationship between these two markets in the PIGS countries, especially in the tail quantile. The existence of a significant tail interdependence implies that investors are unable to hedge the risk across the real-estate and stock markets when they are extremely volatile. Therefore, when there exist extreme returns between the two markets in the PIGS countries, both continuous negative impacts imply that instability in the real-estate market drives instability in the stock market and vice versa. It could be one of the major reasons why it deepened the systemic risk of the European sovereign debt crisis.
關聯:	APPLIED ECONOMICS LETTERS 卷: 24 期: 11 頁碼: 736-741
顯示於類別:	[財務金融學系 ] 期刊論文

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