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House price‐stock price relations in Thailand: an empirical analysis

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  • Mansor H. Ibrahim

Abstract

Purpose - The purpose of this paper is to empirically evaluate the wealth and credit‐price effects in the relations between housing prices and stock prices for Thailand using quarterly data from 1995 to 2006. Design/methodology/approach - The analysis relies on a four‐variable vector autoregression (VAR) framework consisting of house prices, stock prices, real output and consumer prices. Granger causality tests, impulse‐response functions and variance decompositions simulated from the estimated VAR systems are adopted as bases for inferences. Findings - The results obtained from Granger causality tests, impulse‐response functions and variance decompositions all suggest a unidirectional causality that runs from stock prices to house prices. Thus, the wealth effect is unequivocally supported for the Thai case. The paper also documents the importance of real activity in influencing both house and stock prices. Likewise, stock prices do exert significant effects on real output and to some extent the general price level. These results have an implication that stock market stability is critical for the stability of the housing market as well as the goods market. Originality/value - The paper provides an emerging market perspective on stock price – house price relations, which seem to be lacking in the literature.

Suggested Citation

  • Mansor H. Ibrahim, 2010. "House price‐stock price relations in Thailand: an empirical analysis," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 3(1), pages 69-82, March.
    • Handle: RePEc:eme:ijhmap:v:3:y:2010:i:1:p:69-82
    DOI: 10.1108/17538271011027096
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    Citations

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    Cited by:

    1. Korhan Gokmenoglu & Siamand Hesami, 2019. "Real estate prices and stock market in Germany: analysis based on hedonic price index," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 12(4), pages 687-707, April.
    2. repec:aly:journl:202051 is not listed on IDEAS
    3. Tsangyao Chang & Xiao-lin Li & Stephen M. Miller & Mehmet Balcilar & Rangan Gupta, 2013. "The Co-Movement and Causality between the U.S. Real Estate and Stock Markets in the Time and Frequency Domains," Working Papers 201365, University of Pretoria, Department of Economics.
    4. Koon Nam Henry Lee, 2017. "Residential property price-stock price nexus in Hong Kong: new evidence from ARDL bounds test," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 10(2), pages 204-220, April.
    5. Goodness Aye & Mehmet Balcilar & Rangan Gupta, 2013. "Long- and Short-Run Relationships between House and Stock Prices in South Africa: A Nonparametric Approach," Journal of Housing Research, Taylor & Francis Journals, vol. 22(2), pages 203-219, January.
    6. Hao, Jing & He, Feng, 2018. "Univariate dependence among sectors in Chinese stock market and systemic risk implication," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 355-364.
    7. David G McMillan, 2012. "Long-run stock price-house price relation: evidence from an ESTR model," Economics Bulletin, AccessEcon, vol. 32(2), pages 1737-1746.
    8. Chi-Wei Su & Xiao-Cui Yin & Hsu-Ling Chang & Hai-Gang Zhou, 2019. "Are the stock and real estate markets integrated in China?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(4), pages 741-760, December.
    9. Ding, Haoyuan & Chong, Terence Tai-leung & Park, Sung Y., 2014. "Nonlinear dependence between stock and real estate markets in China," Economics Letters, Elsevier, vol. 124(3), pages 526-529.
    10. Yuki Toyoshima, 2018. "Testing for Causality-In-Mean and Variance between the UK Housing and Stock Markets," JRFM, MDPI, vol. 11(2), pages 1-10, April.
    11. Nannan Yuan & Shigeyuki Hamori & Wang Chen, 2014. "House Prices and Stock Prices: Evidence from a Dynamic Heterogeneous Panel in China," Discussion Papers 1428, Graduate School of Economics, Kobe University.
    12. Ming-Te Lee & Chyi Lin Lee & Ming-Long Lee & Chien-Ya Liao, 2017. "Price linkages between Australian housing and stock markets," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 10(2), pages 305-323, April.
    13. Hooi Hooi Lean & Russell Smyth, 2011. "REITs, interest rates and stock prices in Malaysia," Monash Economics Working Papers 01-11, Monash University, Department of Economics.
    14. Yener Coskun & Burak Sencer Atasoy & Giacomo Morri & Esra Alp, 2018. "Wealth Effects on Household Final Consumption: Stock and Housing Market Channels," IJFS, MDPI, vol. 6(2), pages 1-32, June.

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