Impact of Property Prices on Stock Prices in Hong Kong

Raymond Y.C. Tse

41 citations0/0 files storedReview of Pacific Basin Financial Markets and Policies

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Financial Markets and Investment Strategies Housing Market and Economics Market Dynamics and Volatility

Abstract

This paper studies the extent to which real estate prices impact common stock prices in Hong Kong. Real estate-related firms account for over 30 percent of Hong Kong's stock market capitalization. The real estate markets are therefore major determinants of changes in common stock prices. This study, using data during the 1974-1998 period, not only supports empirically that both unexpected changes in residential and office property prices are important determinants of the change in stock prices for Hong Kong, it also finds that the property and stock price series are cointegrated. Impulse response function based on an error-correction VAR model is used to examine the dynamic relationships between real estate and common stock prices.

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1980Macroeconomics and Reality 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1988Causality, cointegration, and control 1984A comparison of inflation forecasts 1999Do Real Estate Prices and Stock Prices Move Together? An International Analysis 1984Perspectives on High World Real Interest Rates

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