Asymmetric wealth effect between US stock markets and US housing market and european stock markets: evidences from TAR and MTAR
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.22/24811 |
Resumo: | Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced by economic activity and react nonlinearly to positive/negative shocks. This problem justifies our research. The objective of this study is to examine evidence of cointegrations between the US housing and stock markets and between the US and European stock markets, given the international relevance of these exchanges. Using data from 1989:Q1 to 2020:Q2, the Threshold Autoregression model as well as the Momentum Threshold Autoregression model were calculated by combining the US Freddie, DJIA, and SPX indices and the European STOXX and FTSE indices. The results suggest a long-term equilibrium relationship with asymmetric adjustments between the housing market and the US stock markets, as well as between the DJIA, SPX, and FTSE indices. Moreover, the wealth effect is stronger when stock prices outperform house prices above an estimated threshold. This empirical evidence is useful to portfolio managers in their search for non-perfectly related markets that allow investment diversification and control risk exposure across different assets. |
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Asymmetric wealth effect between US stock markets and US housing market and european stock markets: evidences from TAR and MTARThreshold autoregressionFinancial marketsMomentum threshold autoregressionRiskCointegrationAsymmetric error correctionEvidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced by economic activity and react nonlinearly to positive/negative shocks. This problem justifies our research. The objective of this study is to examine evidence of cointegrations between the US housing and stock markets and between the US and European stock markets, given the international relevance of these exchanges. Using data from 1989:Q1 to 2020:Q2, the Threshold Autoregression model as well as the Momentum Threshold Autoregression model were calculated by combining the US Freddie, DJIA, and SPX indices and the European STOXX and FTSE indices. The results suggest a long-term equilibrium relationship with asymmetric adjustments between the housing market and the US stock markets, as well as between the DJIA, SPX, and FTSE indices. Moreover, the wealth effect is stronger when stock prices outperform house prices above an estimated threshold. This empirical evidence is useful to portfolio managers in their search for non-perfectly related markets that allow investment diversification and control risk exposure across different assets.Repositório Científico do Instituto Politécnico do PortoCoelho, PedroGomes, LuísRamos, Patrícia2024-01-30T08:46:50Z20232023-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.22/24811eng10.3390/risks11070124info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-02-07T01:48:25Zoai:recipp.ipp.pt:10400.22/24811Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T01:59:10.280167Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Asymmetric wealth effect between US stock markets and US housing market and european stock markets: evidences from TAR and MTAR |
title |
Asymmetric wealth effect between US stock markets and US housing market and european stock markets: evidences from TAR and MTAR |
spellingShingle |
Asymmetric wealth effect between US stock markets and US housing market and european stock markets: evidences from TAR and MTAR Coelho, Pedro Threshold autoregression Financial markets Momentum threshold autoregression Risk Cointegration Asymmetric error correction |
title_short |
Asymmetric wealth effect between US stock markets and US housing market and european stock markets: evidences from TAR and MTAR |
title_full |
Asymmetric wealth effect between US stock markets and US housing market and european stock markets: evidences from TAR and MTAR |
title_fullStr |
Asymmetric wealth effect between US stock markets and US housing market and european stock markets: evidences from TAR and MTAR |
title_full_unstemmed |
Asymmetric wealth effect between US stock markets and US housing market and european stock markets: evidences from TAR and MTAR |
title_sort |
Asymmetric wealth effect between US stock markets and US housing market and european stock markets: evidences from TAR and MTAR |
author |
Coelho, Pedro |
author_facet |
Coelho, Pedro Gomes, Luís Ramos, Patrícia |
author_role |
author |
author2 |
Gomes, Luís Ramos, Patrícia |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório Científico do Instituto Politécnico do Porto |
dc.contributor.author.fl_str_mv |
Coelho, Pedro Gomes, Luís Ramos, Patrícia |
dc.subject.por.fl_str_mv |
Threshold autoregression Financial markets Momentum threshold autoregression Risk Cointegration Asymmetric error correction |
topic |
Threshold autoregression Financial markets Momentum threshold autoregression Risk Cointegration Asymmetric error correction |
description |
Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced by economic activity and react nonlinearly to positive/negative shocks. This problem justifies our research. The objective of this study is to examine evidence of cointegrations between the US housing and stock markets and between the US and European stock markets, given the international relevance of these exchanges. Using data from 1989:Q1 to 2020:Q2, the Threshold Autoregression model as well as the Momentum Threshold Autoregression model were calculated by combining the US Freddie, DJIA, and SPX indices and the European STOXX and FTSE indices. The results suggest a long-term equilibrium relationship with asymmetric adjustments between the housing market and the US stock markets, as well as between the DJIA, SPX, and FTSE indices. Moreover, the wealth effect is stronger when stock prices outperform house prices above an estimated threshold. This empirical evidence is useful to portfolio managers in their search for non-perfectly related markets that allow investment diversification and control risk exposure across different assets. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023 2023-01-01T00:00:00Z 2024-01-30T08:46:50Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.22/24811 |
url |
http://hdl.handle.net/10400.22/24811 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.3390/risks11070124 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799137075483639808 |