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

Abstract

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.

Publication DOI: https://doi.org/10.1007/s11146-021-09854-0
Divisions: College of Business and Social Sciences > Aston Business School > Economics, Finance & Entrepreneurship
College of Business and Social Sciences > Aston Business School
Additional Information: This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article's Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article's Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/.
Uncontrolled Keywords: Copulas,Housing market,Regions,Stock market,Accounting,Finance,Economics and Econometrics,Urban Studies
Full Text Link:
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)

Download

[img]

Version: Published Version

License: Creative Commons Attribution

| Preview

Export / Share Citation


Statistics

Additional statistics for this record