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Impact of Property Prices on Stock Prices in Hong Kong

Author

Listed:
  • Raymond Y. C. Tse

    (Department of Building & Real Estate, Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong, China)

Abstract

This paper studies the extent to which real estate prices impact common stock prices in Hong Kong. Real estate-related firms account for over 30 percent of Hong Kong's stock market capitalization. The real estate markets are therefore major determinants of changes in common stock prices. This study, using data during the 1974-1998 period, not only supports empirically that both unexpected changes in residential and office property prices are important determinants of the change in stock prices for Hong Kong, it also finds that the property and stock price series are cointegrated. Impulse response function based on an error-correction VAR model is used to examine the dynamic relationships between real estate and common stock prices.

Suggested Citation

  • Raymond Y. C. Tse, 2001. "Impact of Property Prices on Stock Prices in Hong Kong," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 29-43.
    • Handle: RePEc:wsi:rpbfmp:v:04:y:2001:i:01:n:s0219091501000309
    DOI: 10.1142/S0219091501000309
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    More about this item

    Keywords

    Common stock; residential; office; impulse response; Hong Kong;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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