Investigating the asymmetric relationship between housing prices and the stock market in Iran: quantile-on-quantile approach
International Journal of Housing Markets and Analysis
ISSN: 1753-8270
Article publication date: 4 October 2022
Issue publication date: 22 February 2024
Abstract
Purpose
The purpose of this study, the nonlinear relationship between the real estate market and the stock market was investigated in Iran. For this intent, the monthly data from 2012:4 to 2022:5 is used.
Design/methodology/approach
In this study, the quantile-on-quantile estimation method is used, which is a combination of the nonparametric estimation methods and the quantile regression.
Findings
The research results show that, in the low quantiles, the effect of stock market return on the housing market return is negative or zero. In fact, in this situation, the increasing returns in the stock market will shift part of the financial resources of the economy to the market and create stagnation or even negative returns in the housing market. This situation is seen more strongly in some other quantiles, including the 0.25 and 0.75 quantiles; in contrast, the effect of high quantiles of stock market returns is positive on the housing market.
Originality/value
It seems that the demand in the housing market increase in a situation where the returns of the stock market are growing, and the market is in a bullish condition, and this causes an increase in the price and returns in this market. In addition, the results show that the effect of stock market returns on capital market returns is asymmetric and nonlinear.
Keywords
Acknowledgements
Conflict of interest: The author has no relevant financial or nonfinancial interests to disclose.
Citation
Balounejad Nouri, R. (2024), "Investigating the asymmetric relationship between housing prices and the stock market in Iran: quantile-on-quantile approach", International Journal of Housing Markets and Analysis, Vol. 17 No. 2, pp. 436-452. https://doi.org/10.1108/IJHMA-07-2022-0104
Publisher
:Emerald Publishing Limited
Copyright © 2022, Emerald Publishing Limited