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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.
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.
Keywords
causality-in-variance; cross-correlation function; housing and stock markets
Subject
Business, Economics and Management, Econometrics and Statistics
Copyright: This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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