IDEAS home Printed from https://ideas.repec.org/a/tcb/cebare/v16y2016i1p33-40.html
   My bibliography  Save this article

The relationship between stock and real estate prices in Turkey : Evidence around the global financial crisis

Author

Listed:
  • Asli Yuksel

Abstract

Research on the relationship between stock and real estate prices focuses on two transmission mechanisms, namely the wealth and credit-price effects. This paper uses the 2007 global financial crisis as a natural experiment and examines whether the relationship between real estate prices and stock prices has changed after the outbreak of the crisis by using data from the Turkish market. The results based on a threshold cointegration framework indicate that while both effects exist during the pre-crisis period, only a credit-price effect is observed during the crisis period. Moreover, the findings are sensitive to whether or not one allows for asymmetric error correction.

Suggested Citation

  • Asli Yuksel, 2016. "The relationship between stock and real estate prices in Turkey : Evidence around the global financial crisis," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 16(1), pages 33-40.
    • Handle: RePEc:tcb:cebare:v:16:y:2016:i:1:p:33-40
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/journal/13030701/16/1
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Gil-Alana, Luis A. & Yaya, OlaOluwa S, 2018. "How do Stocks in BRICS co-move with REITs?," MPRA Paper 88753, University Library of Munich, Germany.
    2. Huseyin Karamelikli, 2016. "Linear and nonlinear dynamics of housing price in Turkey," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 46.
    3. Pérez, Sergio Iglesias & Moral-Rubio, Santiago & Criado, Regino, 2023. "Combining multiplex networks and time series: A new way to optimize real estate forecasting in New York using cab rides," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
    4. K.S.Reddy, 2019. "Pot the ball? Sovereign wealth funds’ outward FDI in times of global financial market turbulence: A yield institutions-based view," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 19(4), pages 129-139.
    5. 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.
    6. Salami, Monsurat Ayojimi & Tanrıvermiş, Harun & Tanrıvermiş, Yesim, 2024. "Influence of Ukraine invasion by Russia on Turkish markets," The Journal of Economic Asymmetries, Elsevier, vol. 29(C).
    7. Liu, Chao & Zheng, Ying & Zhao, Qi & Wang, Chao, 2020. "Financial stability and real estate price fluctuation in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 540(C).
    8. Sadeq J. Abul, 2019. "The Dynamic Relationship Between Stock and Real Estate Prices in Kuwait," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(5), pages 1-30, May.
    9. Demirer, Rıza & Yuksel, Asli & Yuksel, Aydin, 2017. "Flight to quality and the predictability of reversals: The role of market states and global factors," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1445-1454.
    10. Xiaogang Song & Shufan Zhai & Na Zhou, 2024. "The Carbon Emissions from Public Buildings in China: A Systematic Analysis of Evolution and Spillover Effects," Sustainability, MDPI, vol. 16(15), pages 1-22, August.
    11. Imran Yousaf & Shoaib Ali, 2020. "Integration between real estate and stock markets: new evidence from Pakistan," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 13(5), pages 887-900, April.
    12. 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.
    13. Abul, Sadeq & Al-Kandari, Ahmad M., 2020. "Real Estate Market and Macroeconomic Factors in Kuwait: An ARDL Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 73(3), pages 405-434.
    14. Albulescu, C.T. & Bouri, E. & Tiwari, A.K. & Roubaud, D., 2020. "Quantile causality between banking stock and real estate securities returns in the US," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 251-260.
    15. 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.
    16. Olgun Kitapci & Ömür Tosun & Murat Fatih Tuna & Tarik Turk, 2017. "The Use of Artificial Neural Networks (ANN) in Forecasting Housing Prices in Ankara, Turkey," Journal of Marketing and Consumer Behaviour in Emerging Markets, University of Warsaw, Faculty of Management, vol. 1(5), pages 4-14.

    More about this item

    Keywords

    Credit-price effect; Wealth effect; Threshold error-correction model; Causality;
    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
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tcb:cebare:v:16:y:2016:i:1:p:33-40. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge or the person in charge or the person in charge or the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/tcmgvtr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.