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@article{ART002359103},
author={Sangbae Kim},
title={Investigation on the Correlation between the Housing and Stock Markets},
journal={Korea Real Estate Review},
issn={2092-5395},
year={2018},
volume={28},
number={2},
pages={21-34},
doi={10.35136/krer.28.2.2}

TY - JOUR
AU - Sangbae Kim
TI - Investigation on the Correlation between the Housing and Stock Markets
JO - Korea Real Estate Review
PY - 2018
VL - 28
IS - 2
PB - korea real estate research institute
SP - 21
EP - 34
SN - 2092-5395
AB - The purpose of this study is to investigate the effect of macro-finance variables on the correlation between the housing and stock markets because understanding the nature of time-varying correlations between different assets has important implications on portfolio allocation and risk management. Thus, we adopted the AG-DCC GARCH model to obtain time-varying, conditional correlations. Our sample ranged from January 2004 to November 2017. Our empirical result showed that the coefficients on asymmetric correlation were significantly positive, implying that correlations between the housing and stock markets were significantly higher when changes in the housing price and stock returns were negative. This finding suggested that the housing market has less hedging potential during a stock market downturn, when such a hedging strategy might be necessary. Based on the regression analysis, we found that the term spread had a significantly negative effect on correlations, while the credit spread had a significantly positive effect. This result could be interpreted by the risk premium effect.
KW - housing market;stock market;correlation;AG-DCC GARCH model;macro-finance variables
DO - 10.35136/krer.28.2.2
ER -

Sangbae Kim. (2018). Investigation on the Correlation between the Housing and Stock Markets. Korea Real Estate Review, 28(2), 21-34.

Sangbae Kim. 2018, "Investigation on the Correlation between the Housing and Stock Markets", Korea Real Estate Review, vol.28, no.2 pp.21-34. Available from: doi:10.35136/krer.28.2.2

Sangbae Kim "Investigation on the Correlation between the Housing and Stock Markets" Korea Real Estate Review 28.2 pp.21-34 (2018) : 21.

Sangbae Kim. Investigation on the Correlation between the Housing and Stock Markets. 2018; 28(2), 21-34. Available from: doi:10.35136/krer.28.2.2

Sangbae Kim. "Investigation on the Correlation between the Housing and Stock Markets" Korea Real Estate Review 28, no.2 (2018) : 21-34.doi: 10.35136/krer.28.2.2

Sangbae Kim. Investigation on the Correlation between the Housing and Stock Markets. Korea Real Estate Review, 28(2), 21-34. doi: 10.35136/krer.28.2.2

Sangbae Kim. Investigation on the Correlation between the Housing and Stock Markets. Korea Real Estate Review. 2018; 28(2) 21-34. doi: 10.35136/krer.28.2.2

Sangbae Kim. Investigation on the Correlation between the Housing and Stock Markets. 2018; 28(2), 21-34. Available from: doi:10.35136/krer.28.2.2

Sangbae Kim. "Investigation on the Correlation between the Housing and Stock Markets" Korea Real Estate Review 28, no.2 (2018) : 21-34.doi: 10.35136/krer.28.2.2