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How do stocks in BRICS co-move with real estate stocks?

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  • Gil-Alana, Luis A.
  • Yaya, OlaOluwa S.
  • Akinsomi, Omokolade
  • Coskun, Yener

Abstract

This paper investigates BRICS markets’ integration and segmentation between real estate indices and stock indices, and the possibility of establishing “wealth” and “credit” effects. The analysis of the relationship is based on updated techniques in time series using the concepts of fractional integration and cointegration and Granger causality. This allows us to look at market efficiency and bi-directional long-run equilibrium relationships between the two variables in the five countries. The results indicate that all the series are highly persistent, with orders of integration around 1 implying the possibility of markets to be efficient. However, we do not find any evidence suggesting long run equilibrium relationships between the real estate stock indices and the stocks indices. Meanwhile, causality is bi-directional in the case of South Africa, thus both “wealth effect” and “credit effect” exist, while only “credit effect” is established in India and Russia.

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  • Gil-Alana, Luis A. & Yaya, OlaOluwa S. & Akinsomi, Omokolade & Coskun, Yener, 2020. "How do stocks in BRICS co-move with real estate stocks?," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 93-101.
    • Handle: RePEc:eee:reveco:v:69:y:2020:i:c:p:93-101
    DOI: 10.1016/j.iref.2020.04.014
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    More about this item

    Keywords

    Credit and wealth effects; Fractional integration; Fractional cointegration; BRICS; Countries; Real estate indices;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General
    • R39 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - Other

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