Long-run relationships and dynamic interactions between housing and stock prices in Malaysia
Economists recognise that macroeconomic and financial variables have an impact on housing prices. In this study, we focus on the relationship between housing prices and stock prices in Thailand using quarterly data from the first quarter (Q1) of 1995 till the last quarter (Q4) of 2006. The analysis...
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| Format: | Article |
| Language: | English |
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Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia
2009
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| Online Access: | http://psasir.upm.edu.my/id/eprint/15489/ http://psasir.upm.edu.my/id/eprint/15489/1/Long.pdf |
| _version_ | 1848842691797843968 |
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| author | Ibrahim, Mansor Padli, Jaharudin Abdul Hamid, Baharom |
| author_facet | Ibrahim, Mansor Padli, Jaharudin Abdul Hamid, Baharom |
| author_sort | Ibrahim, Mansor |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | Economists recognise that macroeconomic and financial variables have an impact on housing prices. In this study, we focus on the relationship between housing prices and stock prices in Thailand using quarterly data from the first quarter (Q1) of 1995 till the last quarter (Q4) of 2006. The analysis is conducted within a multivariate setting that incorporates the Stock Exchange of Thailand Composite Index and housing prices, the real gross domestic product and the consumer price index. In this paper, the autoregressive distributive lags (ARDL) cointegration test is applied to examine the variables' long-run relationships. We then employ the ARDL, DOLS and ML approaches to estimate the long-run parameters and impulse response functions based on a vector autoregression (VAR) framework to explore their dynamic interactions. Our results indicate positive relationships between housing prices and the macroeconomic and financial variables chosen. As regards their dynamic interactions, we note significant responses of housing prices to shocks in the three variables. |
| first_indexed | 2025-11-15T08:03:10Z |
| format | Article |
| id | upm-15489 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:03:10Z |
| publishDate | 2009 |
| publisher | Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-154892017-07-11T01:28:24Z http://psasir.upm.edu.my/id/eprint/15489/ Long-run relationships and dynamic interactions between housing and stock prices in Malaysia Ibrahim, Mansor Padli, Jaharudin Abdul Hamid, Baharom Economists recognise that macroeconomic and financial variables have an impact on housing prices. In this study, we focus on the relationship between housing prices and stock prices in Thailand using quarterly data from the first quarter (Q1) of 1995 till the last quarter (Q4) of 2006. The analysis is conducted within a multivariate setting that incorporates the Stock Exchange of Thailand Composite Index and housing prices, the real gross domestic product and the consumer price index. In this paper, the autoregressive distributive lags (ARDL) cointegration test is applied to examine the variables' long-run relationships. We then employ the ARDL, DOLS and ML approaches to estimate the long-run parameters and impulse response functions based on a vector autoregression (VAR) framework to explore their dynamic interactions. Our results indicate positive relationships between housing prices and the macroeconomic and financial variables chosen. As regards their dynamic interactions, we note significant responses of housing prices to shocks in the three variables. Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia 2009 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/15489/1/Long.pdf Ibrahim, Mansor and Padli, Jaharudin and Abdul Hamid, Baharom (2009) Long-run relationships and dynamic interactions between housing and stock prices in Malaysia. Asian Academy of Management Journal of Accounting and Finance, 5 (1). pp. 93-105. ISSN 1823-4992; ESSN: 2180-4192 http://web.usm.my/journal/aamjaf/vol5_1_2009.html |
| spellingShingle | Ibrahim, Mansor Padli, Jaharudin Abdul Hamid, Baharom Long-run relationships and dynamic interactions between housing and stock prices in Malaysia |
| title | Long-run relationships and dynamic interactions between housing and stock prices in Malaysia |
| title_full | Long-run relationships and dynamic interactions between housing and stock prices in Malaysia |
| title_fullStr | Long-run relationships and dynamic interactions between housing and stock prices in Malaysia |
| title_full_unstemmed | Long-run relationships and dynamic interactions between housing and stock prices in Malaysia |
| title_short | Long-run relationships and dynamic interactions between housing and stock prices in Malaysia |
| title_sort | long-run relationships and dynamic interactions between housing and stock prices in malaysia |
| url | http://psasir.upm.edu.my/id/eprint/15489/ http://psasir.upm.edu.my/id/eprint/15489/ http://psasir.upm.edu.my/id/eprint/15489/1/Long.pdf |