Preprint Article Version 1 This version is not peer-reviewed

Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets

Version 1 : Received: 24 March 2018 / Approved: 26 March 2018 / Online: 26 March 2018 (08:48:02 CEST)

A peer-reviewed article of this Preprint also exists.

Toyoshima, Y. Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets. J. Risk Financial Manag. 2018, 11, 21. Toyoshima, Y. Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets. J. Risk Financial Manag. 2018, 11, 21.

Journal reference: J. Risk Financial Manag. 2018, 11, 21
DOI: 10.3390/jrfm11020021

Abstract

This paper employs the two-step procedure developed by Cheung and Ng (1996) 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.

Subject Areas

causality-in-variance; cross-correlation function; housing and stock markets

Readers' Comments and Ratings (0)

Leave a public comment
Send a private comment to the author(s)
Rate this article
Views 0
Downloads 0
Comments 0
Metrics 0
Leave a public comment

×
Alerts
Notify me about updates to this article or when a peer-reviewed version is published.