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

Gounopoulos, Dimitrios, Kosmidou, Kyriaki, Kousenidis, Dimitrios and Patsika, Victoria 2018. The investigation of the dynamic linkages between real estate market and stock market in Greece. European Journal of Finance 25 (7) , pp. 647-669. 10.1080/1351847X.2018.1532443

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Abstract

We use quarterly data from Greece over the period 1997:1–2015:2 and investigate the dynamic linkages between the price of the real estate market and the price of the stock market focusing on two transmission mechanisms, namely the wealth and credit-price effects. The empirical analysis employs advanced methodological techniques and presents evidence supporting the existence of both the wealth effect and the credit effect in the long-run while in the short-run there is a one-way causal effect running from stock market towards house market. Results reveal asymmetric adjustment to equilibrium process and considerably stronger for positive deviations from the equilibrium.

Item Type: Article
Date Type: Published Online
Status: Published
Schools: Business (Including Economics)
Publisher: Taylor & Francis
ISSN: 1351-847X
Date of First Compliant Deposit: 22 January 2020
Date of Acceptance: 28 August 2018
Last Modified: 22 Apr 2020 19:33
URI: http://orca.cf.ac.uk/id/eprint/128809

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