Abstract
Using quarterly data, this study aims to investigate the cointegration and causality relationships between residential property price and stock price in two biggest emerging market economies, China, and India. The empirical results of Autoregressive distributed lagged (ARDL) cointegration tests running from stock price to property price and vice versa provide strong evidence to support the hypothesis that the stock price and property price are cointegrated. Hence, the results confirm the bilateral causal relationship between stock and property prices in China and India. The results of Granger (2000) non- causality tests provide evidence of wealth effect and credit price effect for China; however, the causality results support only the credit price effect in India.
| Original language | English |
|---|---|
| Pages (from-to) | 27-33 |
| Number of pages | 7 |
| Journal | Empirical Economics Letters |
| Volume | 23 |
| Issue number | 5 |
| Publication status | Published - May 2024 |
Bibliographical note
Information for this record is supplemented by the author(s) concerned.Research Keywords
- Emerging Markets
- ARDL
- cointegration
- Wealth effect
- Credit Price effect
- Permanent income hypothesis
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