Investigating the Links between UK House Prices and Share Prices with Copulas


We investigate the nonlinear links between the housing and stock markets in the UK using copulas. Our empirical analysis is conducted at both the national and regional levels. We also examine how closely London house prices are linked to those in other parts of the UK. We find that (i) the dependence between the different markets exhibits significant time-variation, (ii) at the national level, the relationship between house prices and the stock market is characterised by left tail dependence, i.e., they are more likely to crash, rather than boom, together, (iii) although left tail dependence with the stock market is a prominent feature of some regions, it is by no means a universally shared characteristic, (iv) the dependence between property prices in London and other parts of the UK displays widespread regional variations.

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Divisions: College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship
College of Business and Social Sciences > Aston Business School
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Uncontrolled Keywords: Copulas,Housing market,Regions,Stock market,Accounting,Finance,Economics and Econometrics,Urban Studies
Publication ISSN: 1573-045X
Last Modified: 15 Apr 2024 16:01
Date Deposited: 27 Aug 2021 15:02
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Related URLs: https://link.sp ... 146-021-09854-0 (Publisher URL)
http://www.scop ... tnerID=8YFLogxK (Scopus URL)
PURE Output Type: Article
Published Date: 2021-08-23
Published Online Date: 2021-08-23
Accepted Date: 2021-02-09
Submitted Date: 2019
Authors: Bissoondeeal, Rakesh (ORCID Profile 0000-0003-3950-0507)
Tsiaras, Leonidas (ORCID Profile 0000-0002-4154-4210)



Version: Published Version

License: Creative Commons Attribution

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