The investigation of the dynamic linkages between real estate market and stock market in Greece

Gounopoulos, Dimitrios; Kosmidou, Kyriaki; Kousenidis, Dimitrios; Patsika, Victoria

doi:10.1080/1351847x.2018.1532443

Cited by 16 publications

(4 citation statements)

References 61 publications

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“…In other words, there is no short-run causality from (CR) to stock prices, while there is a short-run relationship between KESI and MAP. Our result of the KSEI and MAP is in line with other studies that find a short-run relationship; such as Liow (2006) for the Singapore markets; Ali and Zaman (2017) for 22 European countries; and Gounopoulos et al (2018) for Greece.…”

Section: Johansen Cointegration Testsupporting

confidence: 92%

The Dynamic Relationship Between Stock and Real Estate Prices in Kuwait

Abul¹

2019

IJEF

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This paper examines empirically the dynamic relationship existing between the stock and real estate markets in the State of Kuwait for the period from January 2007 to December 2017. The main features of the real estate market in Kuwait are reviewed, and two indices are constructed to measure the activity of the residential real estate (land and houses) and multi-apartment buildings in the Kuwaiti real-estate market. The empirical analysis employs the main proper tests, such as the Johansen (1998) cointegration test and Vector Error Correction Model (VECM). These two tests confirm the long- and short-term association between Kuwaiti stock prices and multi-apartment building prices only, while no evidence of such a relationship is found for the residential real estate (land and houses) prices. This paper extends the literature available on the emerging stock markets, as the Kuwaiti Stock Market is one of the oldest stock markets in the member countries of the Gulf Cooperation Council (GCC). In addition, the results obtained in this paper have useful implications for academics and policy-makers in Kuwait.

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Section: Johansen Cointegration Testsupporting

confidence: 92%

The Dynamic Relationship Between Stock and Real Estate Prices in Kuwait

Abul¹

2019

IJEF

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“…This implies that direct real estate can be a good candidate for portfolio diversification. The result also raises the question of the linkages between the real estate market and the REITs market (Gounopoulos et al 2019). Figure 2 shows the scatterplot of betas versus average price returns of 12 City-TAs in New Zealand, illustrating their beta-return relationships.…”

Section: Empirical Results and Discussionmentioning

confidence: 99%

An Extended Fama-French Multi-Factor Model in Direct Real Estate Investing

Yiu

Xiong

Cheung

2022

JRFM

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Understanding risk-adjusted returns in real estate investment are crucial, but little is known about the risk-adjusted returns for direct real estate. This paper examines risk-adjusted total returns by developing an extended capital asset pricing model (CAPM) to investigate whether direct real estate returns compensate for their risk levels. Based on a panel dataset of the residential property transaction in 62 Territorial Authorities of New Zealand from 2002Q1 to 2018Q4, a direct real estate portfolio performance in the single-factor CAPM model is compared with the national housing markets stock markets and REITs markets in New Zealand before the pandemic. The results demonstrate that the direct real estate returns outperform the market returns with a significant positive alpha and beta smaller than one but positive. The alpha is further evaluated by the five-factor CAPM model, which includes the factors of liquidity risk, value risk, time risk, credit-rating risk, and currency risk. The assessment shows that most of the excess return (alpha) can be attributed to direct real estate market risks.

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“…For instance, regulatory arbitrage was a key factor for financial innovations such as securitisation and repo finance (Calomiris 2009). Finally there are positive (Laeven, Levine, and Michalopoulos 2015) and negative (Freixas, Laeven, and Peydro 2015) trade-offs associated with financial innovation. Therefore, this special issue looks into different aspects of financial markets, innovation and regulation and proposes guidelines for moving forward.…”

Section: Financial Markets Innovation and Regulationmentioning

confidence: 94%