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Long-Run Relationship and Dynamic Interactions between Housing and Stock Prices in Thailand

Author

Listed:
  • Mansor H. Ibrahim

    (Department of Economics, Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia)

  • mansorhi@econ.upm.edu.my
  • Jaharudin Padli

    (Department of Economics, Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia)

  • A. H. Baharom

    (Department of Economics, Faculty of Economics and Management, Universiti Putra Malaysia, 43400 UPM Serdang, Selangor, Malaysia)

Abstract

Economists recognise that macroeconomic and financial variables have an impact on housing prices. In this study, we focus on the relationship between housing prices and stock prices in Thailand using quarterly data from the first quarter (Q1) of 1995 till the last quarter (Q4) of 2006. The analysis is conducted within a multivariate setting that incorporates the Stock Exchange of Thailand Composite Index and housing prices, the real gross domestic product and the consumer price index. In this paper, the autoregressive distributive lags (ARDL) cointegration test is applied to examine the variables' long-run relationships. We then employ the ARDL, DOLS and ML approaches to estimate the long-run parameters and impulse response functions based on a vector autoregression (VAR) framework to explore their dynamic interactions. Our results indicate positive relationships between housing prices and the macroeconomic and financial variables chosen. As regards their dynamic interactions, we note significant responses of housing prices to shocks in the three variables.

Suggested Citation

  • Mansor H. Ibrahim & mansorhi@econ.upm.edu.my & Jaharudin Padli & A. H. Baharom, 2009. "Long-Run Relationship and Dynamic Interactions between Housing and Stock Prices in Thailand," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 5(1), pages 93-105.
    • Handle: RePEc:usm:journl:aamjaf00501_93-105
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    Cited by:

    1. Akarapong Untong & Vicente Ramos & Mingsarn Kaosa-Ard & Javier Rey-Maquieira, 2014. "Thailand's Long-Run Tourism Demand Elasticities," Tourism Economics, , vol. 20(3), pages 595-610, June.
    2. Dalina Amonhaemanon, 2015. "The Impact of Stock Price and Real Estate Price Shocks on Consumption: The Thai Experience," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(1), pages 137-148, January.
    3. 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.

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