Testing for causality-in-mean and variance between the UK housing and stock markets

Yuki Toyoshima

This paper employs the two-step procedure to analyze the causality-in-mean and causality-in-variance between the housing and stock markets of the UK. The empirical findings make two key contributions. First, although previous studies have indicated a one-way causal relation from the housing market to the stock market in the UK, this paper discovered a two-way causal relation between them. Second, a causality-in-variance as well as a causality-in-mean was detected from the housing market to the stock market.

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Year of publication:	June 2018
Authors:	Toyoshima, Yuki
Published in:	Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 11.2018, 2, p. 1-10
Subject:	causality-in-variance \| cross-correlation function \| housing and stock markets \| Aktienmarkt \| Stock market \| Großbritannien \| United Kingdom \| Immobilienpreis \| Real estate price \| Volatilität \| Volatility \| Immobilienmarkt \| Real estate market