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http://dx.doi.org/10.5804/LHIJ.2021.12.3.27

The Empirical Information Spillover Effect between the Housing Market and the Stock Market  

Choi, Chasoon (남서울대학교 부동산학과)
Publication Information
Land and Housing Review / v.12, no.3, 2021 , pp. 27-37 More about this Journal
Abstract
This paper empirically examined the relationship between the housing market and the stock market to investigate the price and the asymmetric volatility spillover effects. The monthly housing price index and the monthly KOSPI were used for analysis. This research employed the EGARCH model. The analysis period was from January 1986 until June 2021 with periodization centered on the Asian Financial Crisis: before and after the crisis - the end of December 1997. The EGARCH model allows analysis of 'good news' and 'bad news' in understanding volatility. The price spillover effect was observed one way from the stock market to the housing market. On the contrary, the spillover effect was not found from the housing market to the stock market. The empirical evidence suggests that there are price and asymmetric volatility effects in the entire period of analysis in both housing and the stock markets. In the housing market, the negative effects of information were found pre-financial crisis while the positive effects, in other periods. However, in the stock market, the negative effects of information were found in the pre- and post-financial crisis periods. This means that the housing market is more affected by 'good news' than 'bad news' when information spreads to the markets while the stock market is more affected by 'bad news' than 'good news'. It is of significance to discover the variable returns by different information.
Keywords
Housing Market; Stock Market; Information; Asymmetric Volatility; EGARCH Model;
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Times Cited By KSCI : 1  (Citation Analysis)
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