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Co‐integration of housing prices and property stock prices: evidence from the Swedish market

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  • Zan Yang

Abstract

The long run linkages between Swedish housing prices and property stock prices are investigated with the consideration that rental control system applied in Sweden could deviate asset prices from the suggested co‐integration. To confirm the degree of equilibrium, Error Correction Model with exogenous variables and the effect of the tax reform in 1991 are examined. Roles of rentals on the behavior of asset prices are also presented. This study confirms the existence of long‐term equilibrium between asset prices and indicates a semi‐strong efficiency of asset market. Furthermore, this study also suggests the effects of rentals on improving speed to the long‐term equilibrium.

Suggested Citation

  • Zan Yang, 2005. "Co‐integration of housing prices and property stock prices: evidence from the Swedish market," Journal of Property Research, Taylor & Francis Journals, vol. 22(1), pages 1-17, October.
    • Handle: RePEc:taf:jpropr:v:22:y:2005:i:1:p:1-17
    DOI: 10.1080/09599910500424468
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    References listed on IDEAS

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    1. Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J., 2000. "Structural analysis of vector error correction models with exogenous I(1) variables," Journal of Econometrics, Elsevier, vol. 97(2), pages 293-343, August.
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    4. Bossaerts, Peter, 1988. "Common nonstationary components of asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 347-364.
    5. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    6. Rosenberg, Barr & Ohlson, James A., 1976. "The Stationary Distribution of Returns and Portfolio Separation in Capital Markets: A Fundamental Contradiction," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(3), pages 393-402, September.
    7. Niels Haldrup, 1998. "An Econometric Analysis of I(2) Variables," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 595-650, December.
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    Cited by:

    1. Patrick J. Wilson & Ralf Zurbruegg, 2008. "Big City Difference? Another Look at Factors Driving House Prices," Journal of Property Research, Taylor & Francis Journals, vol. 25(2), pages 157-177, November.

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