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Dynamic Relationship Between Residential Prices and Stock Prices in New Zealand

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Dissertation(1.13 MB)

Date

2017

Authors

Supervisor

Chen, Jun
Tourani-Rad, Alireza

Item type

Dissertation

Degree name

Master of Business

Journal Title

Journal ISSN

Volume Title

Publisher

Auckland University of Technology

Abstract

The purpose of this dissertation is to examine the relationship between house prices and stock prices in New Zealand, using quarterly data from 1990 to 2016. Employing Cointegration and Granger Causality tests, Variance Decomposition and Impulse Response Function, this study finds that while the two markets are generally segmented, there is some weak evidence showing that house prices lead stock prices in short-term and stock prices lead the house prices over long-run.

Description

Keywords

Housing, Residential, Stock, New Zealand, Granger Causality, Wealth effect, Credit price effect

Source

DOI

Publisher's version

Rights statement

Permanent link

https://hdl.handle.net/10292/10502

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Masters Dissertations